UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549


 
FORM N-Q
 
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT
INVESTMENT COMPANY
 


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 Barnes
U.S. Bank Global Fund Services
615 East Michigan Street
Milwaukee, WI 53202
(Name and address of agent for service)
 
Registrant's telephone number, including area code: (414) 765-6511


Copies to:
 
Laura E. Flores
John McGuire
Morgan Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, D.C. 20004-2541
 
 
Date of fiscal year end: August 31
 
Date of reporting period: November 30, 2019
Item 1. Schedule of Investments.

Schedule of Investments
       
Overlay Shares Large Cap Equity ETF
       
November 30, 2019 (Unaudited)
       
       
   
Shares
   
Value
       
INVESTMENT COMPANIES - 99.1%
                 
Exchange Traded Funds - 99.1%
                 
Vanguard S&P 500 ETF (a)(b)
   
89,614
   
$
25,867,081
       
TOTAL EXCHANGE TRADED FUNDS (Costs $24,909,647)
           
25,867,081
       
                       
MONEY MARKET FUNDS — 0.4%
                     
First American Government Obligations Fund - Class X, 1.56% (c)
   
86,919
     
86,919
       
TOTAL MONEY MARKET FUNDS (Cost $86,919)
           
86,919
       
                       
   
Number of
               
   
Contracts (d)
           
Notional Value
 
PURCHASED OPTIONS - 0.0% (e)
                     
PURCHASED PUT OPTIONS - 0.0% (e)
                     
S&P 500 Index
                     
Expiration: December 2019, Strike Price: $3,025 (f)
   
56
     
5,045
   
$
17,589,488
 
Expiration: December 2019, Strike Price: $3,045 (f)
   
27
     
2,295
     
8,480,646
 
TOTAL PURCHASED OPTIONS (Cost $8,413)
           
7,340
         
                         
Total Investments (Cost $25,004,979) - 99.5%
           
25,961,340
         
Other Assets in Excess of Liabilities - 0.5%
           
136,018
         
TOTAL NET ASSETS - 100.0%
         
$
26,097,358
         
                         
   
Number of
                 
   
Contracts (d)
   
Value
   
Notional Value
 
SCHEDULE OF WRITTEN OPTIONS - (0.2)%
                       
SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)%
                       
S&P 500 Index
                       
Expiration: December 2019, Strike Price: $3,115
    56
    $ 23,440
    $ 17,589,488
 
Expiration: December 2019, Strike Price: $3,135
   
27
   

23,220
   

8,480,646
 
TOTAL WRITTEN OPTIONS (Premiums Received - $56,071)
         
$
46,660
         

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) All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $21,188,353.
   
(c) The rate shown is the annualized seven-day yield at period end.
   
(d) Each contract is equivalent to 100 shares of the underlying security.
   
(e) Amount is less than 0.1%.
   
(f) Held in connection with a written option, see Schedule of Written Options for more detail.
   

Schedule of Investments
 
Overlay Shares Small Cap Equity ETF
 
November 30, 2019 (Unaudited)
 
       
   
Shares
   
 Value
       
INVESTMENT COMPANIES - 99.2%
                 
Exchange Traded Funds - 99.2%
                 
iShares Core S&P Small-Cap ETF (a)(b)
   
128,789
   
$
10,536,228
       
TOTAL EXCHANGE TRADED FUNDS (Cost $10,158,393)
           
10,536,228
       
                       
MONEY MARKET FUNDS — 0.3%
                     
First American Government Obligations Fund - Class X, 1.56% (c)
   
32,476
     
32,476
       
TOTAL MONEY MARKET FUNDS (Cost $32,476)
           
32,476
       
                       
   
Number of
               
   
Contracts (d)
           
Notional Value
 
PURCHASED OPTIONS - 0.0% (e)
                     
PURCHASED PUT OPTIONS - 0.0% (e)
                     
S&P 500 Index
                     
Expiration: December 2019, Strike Price: $3,025 (f)
   
22
     
2,035
   
$
6,910,156
 
Expiration: December 2019, Strike Price: $3,045 (f)
   
11
     
935
     
3,455,078
 
TOTAL PURCHASED OPTIONS (Cost $3,367)
           
2,970
         
                         
Total Investments (Cost $10,194,236) - 99.5%
           
10,571,674
         
Other Assets in Excess of Liabilities - 0.5%
           
55,564
         
TOTAL NET ASSETS - 100.0%
         
$
10,627,238
         
                         
   
Number of
                 
   
Contracts (d)
   
Value
   
Notional Value
 
SCHEDULE OF WRITTEN OPTIONS - (0.2)%
                       
SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)%
                       
S&P 500 Index
                       
 
Expiration: December 2019, Strike Price: $3,115
    22
    $ 9,438
    $ 6,910,156
 
Expiration: December 2019, Strike Price: $3,135
   
11
   

9,460
   

3,455,078
 
TOTAL WRITTEN OPTIONS (Premiums Received - $22,329)
         
$
18,898
         

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) All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $9,631,000.
   
(c) The rate shown is the annualized seven-day yield at period end.
   
(d) Each contract is equivalent to 100 shares of the underlying security.
   
(e) Amount is less than 0.1%.
   
(f) Held in connection with a written option, see Schedule of Written Options for more detail.    

Schedule of Investments
 
Overlay Shares Foreign Equity ETF
 
November 30, 2019 (Unaudited)
 
       
   
Shares
   
Value
       
INVESTMENT COMPANIES - 99.2%
                 
Exchange Traded Funds - 99.2%
                 
iShares Edge MSCI Min Vol EAFE ETF (a)(b)
   
150,908
   
$
11,345,263
       
iShares Edge MSCI Min Vol Emerging Markets ETF (b)
   
47,938
     
2,734,384
       
TOTAL EXCHANGE TRADED FUNDS (Cost $14,011,798)
           
14,079,647
       
                       
MONEY MARKET FUNDS — 0.3%
                     
First American Government Obligations Fund - Class X, 1.56% (c)
   
34,699
     
34,699
       
TOTAL MONEY MARKET FUNDS (Cost $34,699)
           
34,699
       
                       
   
Number of
               
   
Contracts (d)
           
Notional Value
 
PURCHASED OPTIONS - 0.0% (e)
                     
PURCHASED PUT OPTIONS - 0.0% (e)
                     
S&P 500 Index
                     
Expiration: December 2019, Strike Price: $3,025 (f)
   
30
     
2,775
   
$
9,422,940
 
Expiration: December 2019, Strike Price: $3,045 (f)
   
15
     
1,275
     
4,711,470
 
TOTAL PURCHASED OPTIONS (Cost $4,592)
           
4,050
         
                         
Total Investments (Cost $14,051,089) - 99.5%
           
14,118,396
         
Other Assets in Excess of Liabilities - 0.5%
           
71,288
         
TOTAL NET ASSETS - 100.0%
         
$
14,189,684
         
                         
   
Number of
                 
   
Contracts (d)
   
Value
   
Notional Value
 
SCHEDULE OF WRITTEN OPTIONS - (0.2)%
                       
SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)%
                       
S&P 500 Index
                       
Expiration: December 2019, Strike Price: $3,115
   
30
   
$
12,870
   
$
9,422,940
 
Expiration: December 2019, Strike Price: $3,135
   
15
     
12,900
     
4,711,470
 
TOTAL WRITTEN OPTIONS (Premiums Received - $30,448)
         
$
25,770
         

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) All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $12,012,452.
   
(c) The rate shown is the annualized seven-day yield at period end.
   
(d) Each contract is equivalent to 100 shares of the underlying security.
   
(e) Amount is less than 0.1%.
   
(f) Held in connection with a written option, see Schedule of Written Options for more detail.    

Schedule of Investments
 
Overlay Shares Core Bond ETF
 
November 30, 2019 (Unaudited)
 
       
   
Shares
   
 Value
       
INVESTMENT COMPANIES - 99.1%
                 
Exchange Traded Funds - 99.1%
                 
iShares Core U.S. Aggregate Bond ETF (a)(b)
   
339,421
   
$
38,307,054
       
TOTAL EXCHANGE TRADED FUNDS (Cost $38,239,542)
           
38,307,054
       
                       
MONEY MARKET FUNDS — 0.4%
                     
First American Government Obligations Fund - Class X, 1.56% (c)
   
131,787
     
131,787
       
TOTAL MONEY MARKET FUNDS (Cost $131,787)
           
131,787
       
                       
   
Number of
               
   
Contracts (d)
           
Notional Value
 
PURCHASED OPTIONS - 0.0% (e)
                     
PURCHASED PUT OPTIONS - 0.0% (e)
                     
S&P 500 Index
                     
Expiration: December 2019, Strike Price: $3,025 (f)
   
82
     
7,585
   
$
25,756,036
 
Expiration: December 2019, Strike Price: $3,045 (f)
   
41
     
3,485
     
12,878,018
 
TOTAL PURCHASED OPTIONS (Cost $12,551)
           
11,070
         
                         
Total Investments (Cost $38,383,880) - 99.5%
           
38,449,911
         
Other Assets in Excess of Liabilities - 0.5%
           
196,388
         
TOTAL NET ASSETS - 100.0%
         
$
38,646,299
         
                         
   
Number of
                 
   
Contracts (d)
   
 Value
   
Notional Value
 
SCHEDULE OF WRITTEN OPTIONS - (0.2)%
                       
SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)%
                       
S&P 500 Index
                       
 
Expiration: December 2019, Strike Price: $3,115
    82
    $ 35,178
    $ 25,756,036
 
Expiration: December 2019, Strike Price: $3,135
   
41
   

35,260
   

12,878,018
 
TOTAL WRITTEN OPTIONS (Premiums Received - $83,225)
         
$
70,438
         

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) All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $32,023,348.
   
(c) The rate shown is the annualized seven-day yield at period end.
   
(d) Each contract is equivalent to 100 shares of the underlying security.
   
(e) Amount is less than 0.1%.
   
(f) Held in connection with a written option, see Schedule of Written Options for more detail.    

Schedule of Investments
 
Overlay Shares Municipal Bond ETF
 
November 30, 2019 (Unaudited)
 
       
   
Shares
   
Value
       
INVESTMENT COMPANIES - 99.1%
                 
Exchange Traded Funds - 99.1%
                 
iShares National Muni Bond ETF (a)(b)
   
121,316
   
$
13,836,090
       
TOTAL EXCHANGE TRADED FUNDS (Costs $13,810,926)
           
13,836,090
       
                       
MONEY MARKET FUNDS — 0.4%
                     
First American Government Obligations Fund - Class X, 1.56% (c)
   
49,685
     
49,685
       
TOTAL MONEY MARKET FUNDS (Cost $49,685)
           
49,685
       
                       
   
Number of
               
   
Contracts (d)
           
Notional Value
 
PURCHASED OPTIONS - 0.0% (e)
                     
PURCHASED PUT OPTIONS - 0.0% (e)
                     
S&P 500 Index
                     
Expiration: December 2019, Strike Price: $3,025 (f)
   
28
     
2,590
   
$
8,794,744
 
Expiration: December 2019, Strike Price: $3,045 (f)
   
14
     
1,190
     
4,397,372
 
TOTAL PURCHASED OPTIONS (Cost $4,286)
           
3,780
         
                         
Total Investments (Cost $13,864,897) - 99.5%
           
13,889,555
         
Other Assets in Excess of Liabilities - 0.5%
           
65,530
         
TOTAL NET ASSETS - 100.0%
         
$
13,955,085
         
                         
   
Number of
                 
   
Contracts (d)
   
 Value
   
Notional Value
 
SCHEDULE OF WRITTEN OPTIONS - (0.2)%
                       
SCHEDULE OF WRITTEN PUT OPTIONS - (0.2)%
                       
S&P 500 Index
                       
 
Expiration: December 2019, Strike Price: $3,115
    28
    $ 12,012
    $ 8,794,744
 
Expiration: December 2019, Strike Price: $3,135
   
14
   

12,040
   

4,397,372
 
TOTAL WRITTEN OPTIONS (Premiums Received - $28,418)
         
$
24,052
         

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) All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $11,189,446.
   
(c) The rate shown is the annualized seven-day yield at period end.
   
(d) Each contract is equivalent to 100 shares of the underlying security.
   
(e) Amount is less than 0.1%.
   
(f) Held in connection with a written option, see Schedule of Written Options for more detail.    

Fair Value Measurements
                     
Various inputs are used in determining the value of the Funds' 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 Funds' 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 Funds 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 Funds' investments carried at fair value as of November 30, 2019:
       

Overlay Shares Large Cap Equity ETF
             
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
Exchange Traded Funds
 
$
25,867,081
   
$
-
   
$
-
   
$
25,867,081
 
Money Market Funds
   
86,919
     
-
     
-
     
86,919
 
Purchased Put Options
   
7,340
     
-
     
-
     
7,340
 
Total Assets
 
$
25,961,340
   
$
-
   
$
-
   
$
25,961,340
 
Liabilities:
                               
Written Put Options
 
$
46,660
   
$
-
   
$
-
   
$
46,660
 
Total Liabilities
 
$
46,660
   
$
-
   
$
-
   
$
46,660
 

Overlay Shares Small Cap Equity ETF
             
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
Exchange Traded Funds
 
$
10,536,228
   
$
-
   
$
-
   
$
10,536,228
 
Money Market Funds
   
32,476
     
-
     
-
     
32,476
 
Purchased Put Options
   
2,970
     
-
     
-
     
2,970
 
Total Assets
 
$
10,571,674
   
$
-
   
$
-
   
$
10,571,674
 
Liabilities:
                               
Written Put Options
 
$
18,898
   
$
-
   
$
-
   
$
18,898
 
Total Liabilities
 
$
18,898
   
$
-
   
$
-
   
$
18,898
 

Overlay Shares Foreign Equity ETF
             
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
Exchange Traded Funds
 
$
14,079,647
   
$
-
   
$
-
   
$
14,079,647
 
Money Market Funds
   
34,699
     
-
     
-
     
34,699
 
Purchased Put Options
   
4,050
     
-
     
-
     
4,050
 
Total Assets
 
$
14,118,396
   
$
-
   
$
-
   
$
14,118,396
 
Liabilities:
                               
Written Put Options
 
$
25,770
   
$
-
   
$
-
   
$
25,770
 
Total Liabilities
 
$
25,770
   
$
-
   
$
-
   
$
25,770
 

Overlay Shares Core Bond ETF
             
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
Exchange Traded Funds
 
$
38,307,054
   
$
-
   
$
-
   
$
38,307,054
 
Money Market Funds
   
131,787
     
-
     
-
     
131,787
 
Purchased Put Options
   
11,070
     
-
     
-
     
11,070
 
Total Assets
 
$
38,449,911
   
$
-
   
$
-
   
$
38,449,911
 
                                 
Liabilities:
                               
Written Put Options
 
$
70,438
   
$
-
   
$
-
   
$
70,438
 
Total Liabilities
 
$
70,438
   
$
-
   
$
-
   
$
70,438
 

Overlay Shares Municipal Bond ETF
             
   
Level 1
   
Level 2
   
Level 3
   
Total
 
Assets:
                       
Exchange Traded Funds
 
$
13,836,090
   
$
-
   
$
-
   
$
13,836,090
 
Money Market Funds
   
49,685
     
-
     
-
     
49,685
 
Purchased Put Options
   
3,780
     
-
     
-
     
3,780
 
Total Assets
 
$
13,889,555
   
$
-
   
$
-
   
$
13,889,555
 
Liabilities:
                               
Written Put Options
 
$
24,052
   
$
-
   
$
-
   
$
24,052
 
Total Liabilities
 
$
24,052
   
$
-
   
$
-
   
$
24,052
 

Derivative Investments
                             
The average monthly value outstanding of purchased and written options during the period ended November 30, 2019 were as follows:

       
   
Overlay Shares
Core Bond ETF
   
Overlay Shares
Foreign Equity ETF
   
Overlay Shares
Large Cap Equity
ETF
   
Overlay Shares
Municipal Bond
ETF
   
Overlay Shares
Small Cap Equity
ETF
 
Purchased Put Options
 
$
7,433
   
$
2,658
   
$
4,935
   
$
2,523
   
$
2,060
 
Written Put Options
 
$
58,773
   
$
20,736
   
$
39,033
   
$
19,877
   
$
16,587
 

The following is a summary of the location of derivative instruments on the Funds' Statements of Assets and Liabilities as of November 30, 2019:

                                                                                                                      
     Equity Risk Contracts
   
Location on the Statements of Assets and Liabilities
   
Asset Derivatives, Investments, at value
   
Liability Derivatives, Options written, at value
Overlay Shares Core Bond ETF
 
$
11,070
   
$
70,438
Overlay Shares Foreign Equity ETF
 
$
4,050
   
$
25,770
Overlay Shares Large Cap Equity ETF
 
$
7,340
   
$
46,660
Overlay Shares Municipal Bond ETF
 
$
3,780
   
$
24,052
Overlay Shares Small Cap Equity ETF
 
$
2,970
   
$
18,898
               




The following tables present the Funds' liability derivatives available for offset under a master netting arrangement net of collateral pledged for the Funds as of November 30, 2019:

                               
                     
Gross Amounts Not Offset in the Statement of Assets & Liabilities
Liabilities:
                             
Description
 
Gross Amounts of Recognized
Liabilities(1)

 
Gross Amounts
Offset in the
Statement of
Assets &
Liabilities
 
Net Amounts
Presented in the
Statement of
Assets &
Liabilities
 
Financial
Instruments
Collateral Pledged(2)

Net Amount
Overlay Shares Large Cap Equity ETF -
Written Options
$
                46,660
  $
                       -
  $
               46,660
  $
                  -
 
$               
 (46,660)  
$                      
   -
Overlay Shares Small Cap Equity ETF -
Written Options
$
                 18,898
  $
                       -
  $
                18,898
  $
                        -
 
$               
 (18,898)  
$                      
   -
Overlay Shares Foreign Equity ETF -
Written Options
$
               25,770
  $
                         -
  $
                25,770
  $
                   -
 
$               
 (25,770)  
$                      
   -
Overlay Shares Core Bond ETF -
Written Options
$
                70,438
  $
                         -
  $
                70,438
  $
                     -
 
$               
 (70,438)  
$                      
   -
Overlay Shares Municipal Bond ETF -
Written Options
$
                 24,052
  $
                        -
  $
                24,052
  $
                    -
 
$               
 (24,052)  
$                      
   -

(1) Written options at value as presented in the Schedule of Investments.
         
(2) The amount is limited to the derivative liability balance and, accordingly, does not include excess collateral pledged.
       
Item 2. Controls and Procedures.
 
(a)
The Registrant’s President and Treasurer have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d‑15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).

(b)
There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

Item 3. Exhibits.
 
Separate certifications for each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)).  Filed 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 Bakken
 
 
Gregory Bakken, President and Principal Executive Officer
   
 
Date
1/29/20
 
 
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 Bakken
 
 
Gregory Bakken, President and Principal Executive Officer
   
 
Date
1/29/20
 
 
 
 
 
By (Signature and Title)*
/s/ Travis Babich
 
 
Travis Babich, Treasurer and Principal Financial Officer
 
 
 
 
Date
1/29/20
 
 
 
*
Print the name and title of each signing officer under his or her signature.


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