TrueShares Structured Outcome ETFs

TrueShares Structured Outcome (July) ETF (JULZ)
TrueShares Structured Outcome (August) ETF (AUGZ)
TrueShares Structured Outcome (September) ETF (SEPZ)
TrueShares Structured Outcome (October) ETF (OCTZ)
TrueShares Structured Outcome (November) ETF (NOVZ)
TrueShares Structured Outcome (December) ETF (DECZ)
TrueShares Structured Outcome (January) ETF (JANZ)
TrueShares Structured Outcome (February) ETF (FEBZ)
TrueShares Structured Outcome (March) ETF (MARZ)
TrueShares Structured Outcome (April) ETF (APRZ)
TrueShares Structured Outcome (May) ETF (MAYZ)
TrueShares Structured Outcome (June) ETF (JUNZ)

ANNUAL REPORT

December 31, 2021

This report is submitted for the general information of shareholders of the Funds. It is not authorized for distribution unless preceded or accompanied by a current prospectus for the Funds.

TrueShares Structured Outcome ETFs

Table of Contents


Shareholder Letter (Unaudited)	2
Shareholder Expense Example (Unaudited)	4
Performance Overviews (Unaudited)	6
Schedules of Investments and Written Options	11
Statements of Assets and Liabilities	23
Statements of Operations	26
Statements of Changes in Net Assets	29
Financial Highlights	34
Notes to Financial Statements	38
Report of Independent Registered Public Accounting Firm	54
Board of Trustees and Officers (Unaudited)	56
Supplemental Information (Unaudited)	58
Privacy Policy (Unaudited)	59

TrueShares Structured Outcome ETFs

Shareholder Letter

December 31, 2021 (Unaudited)

Dear Shareholder,

The year 2021 repeated many of the same themes as 2020 given the continued pandemic backdrop. Equities continued to have healthy returns for most of 2021, growth stocks outperformed value, and while the S&P 500 Index had a few bouts of volatility to tend with, it finished with an impressive 26.89% return. The TrueShares Structured Outcome monthly series rounded out all 12 ETF launches, and commenced the one year anniversary for all 2020 launches. TrueShares Structured Outcome ETFs continue to attract investors looking for volatility management and drawdown protection via the buffers, all while maintaining equity upside participation.

Performance Comparison:

The following table details the total returns as of December 31, 2021 since inception for the Funds and the Funds’ volatility against the S&P 500 Price Index for the same period:

FUND	INCEPTION⁽¹⁾		FUND TOTAL RETURN (@ MARKET)			FUND TOTAL RETURN (@NAV)			S&P 500 PRICE INDEX RETURN			FUND VOLATILITY (ANNUALIZED)			S&P 500 VOLATILITY (ANNUALIZED)
JULZ		06/30/2020		20.66	%		20.56	%		26.89	%		10.38	%		13.10	%
AUGZ		07/31/2020		20.74	%		20.83	%		26.89	%		10.21	%		13.10	%
SEPZ		08/31/2020		21.83	%		21.47	%		26.89	%		10.47	%		13.10	%
OCTZ		09/30/2020		20.49	%		20.37	%		26.89	%		10.49	%		13.10	%
NOVZ		10/30/2020		21.46	%		21.40	%		26.89	%		10.55	%		13.10	%
DECZ		11/30/2020		20.15	%		20.17	%		26.89	%		10.14	%		13.10	%
JANZ		12/31/2020		21.66	%		21.65	%		26.89	%		11.00	%		13.10	%
FEBZ		01/29/2021		20.56	%		20.58	%		28.32	%		9.54	%		12.17	%
MARZ		02/26/2021		17.14	%		17.24	%		25.06	%		9.39	%		11.42	%
APRZ		03/31/2021		13.49	%		13.59	%		19.97	%		7.89	%		10.50	%
MAYZ		04/30/2021		10.17	%		10.39	%		13.99	%		7.72	%		10.08	%
JUNZ		05/28/2021		9.96	%		10.13	%		13.37	%		6.97	%		9.31	%

⁽¹⁾	Inception date may not agree to commencement date.

By design, the TrueShares structured outcome series seeks to deliver a more “predictable” return given the performance of the S&P 500 Index over a one-year period from its inception or “initialization date” by buffering the first 10% of losses. The protection is generated while participating as much as possible, given market conditions, in the market upside, or “participation” rate over a one-year period. In the interim of course, the performance is less defined and subject to market conditions.

All ETF series delivered a return and volatility within an acceptable range given the market conditions experienced. The use of derivatives, implicit in the structures, delivered on their expectations as implied volatility levels changed throughout the course of 2021. As one can see, all series are positively correlated to the S&P 500 Index performance over the period, and this is to be expected in the majority of market conditions. Hence, the direction of the S&P 500 Index will be the largest contributor to the performance of all series.

The second largest contributing factor has been the level of volatility, and more specifically the relationship between the Implied Volatility in the put options the strategy has sold and the call options the strategy has purchased. This factor and relationship dictates the participation ratio which subsequently determines the “upside capture” of the series. The actual volatility profile of each series is lower than the benchmark (S&P 500 Index) - this is intentional and expected in the majority of environments as the structure is designed to deliver this feature - and 2021 exemplified this dynamic. The design of the structures has met our

TrueShares Structured Outcome ETFs

Shareholder Letter

December 31, 2021 (Unaudited) (Continued)

expectations, and as the TrueShares’ subadvisor we continue to have confidence in the structural design of the strategy and its ability to deliver a consistent “Structured Outcome”, while striving to simultaneously deliver superior risk-adjusted returns as compared with other like funds or ETFs.

Broadly speaking, the series will lag the S&P 500 Index performance in an up market, as our “participation ratio” will be less than 1.0, but on a risk-adjusted basis, the structure has outperformed over the time frame. There have not been any significant factors that have surprisingly contributed positively or negatively to the performance realized during 2021. We have a keen focus on managing flows as the funds continually grow to adhere to a consistent tracking error through time to deliver upon the “structured outcome” philosophy that TrueShares has brought to market.

On behalf of SpiderRock Advisors, thank you for your trust and confidence,

Sincerely,

Eric Metz
President & Chief Investment Officer

Investment Sub-adviser

SpiderRock Advisors, LLC

Additional Information:

Performance data quoted represents past performance and does not guarantee future results. Investment return and principal value of an investment will fluctuate so that an investor’s shares, when redeemed or sold in the secondary market, may be worth more or less than the original cost. Investors will incur usual and customary brokerage commissions when buying or selling shares of the exchange-traded funds (“ETFs”) in the secondary market, and that, if reflected, the brokerage commissions would reduce the performance returns. Current performance may be lower or higher than the performance shown. Shares are bought and sold at market price not net asset value (“NAV”) and are not individually redeemable from the fund. Call 877-774-TRUE (8783) for performance data current to the most recent month end.

Index performance does not represent TrueShares fund performance. It is not possible to invest directly in an index. All performance figures assume reinvestment of dividend and capital gains at net asset value; actual returns may differ. Performance 1-year and less are cumulative; performance over 1-year are average annualized total returns. Market price performance is determined using the bid/ask midpoint at 4:00pm Eastern time, when the NAV is typically calculated. NAV price performance is determined using the daily calculated NAV. They do not represent the returns you would receive if you traded shares at other times. Performance figures do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or upon redemption or sale of fund shares.

The TrueShares Structured Outcome ETF Series utilizes a “buffer protect” options strategy, that seeks to provide investors with returns (before fees and expenses) that track those of the S&P 500 Index while seeking to provide an 8-12% downside buffer (with the advisor targeting 10%) on the first of that index’s losses over a 12-month investment period.**

In the event an investor purchases Shares after the date on which the options were entered into or sells Shares prior to the expiration of the options, the buffer that the Fund seeks to provide may not be available and there may be limited to no upside potential. The Fund does not provide principal protection and an investor may experience significant losses on its investment, including the loss of its entire investment.

The S&P 500 Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.

TrueShares Structured Outcome ETFs

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 the Funds 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 (July 1, 2021 to December 31, 2021).

ACTUAL EXPENSES

The following table 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 applicable line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

	Beginning Account Value (07/01/2021)	Ending Account Value (12/31/2021)	Annualized Expense Ratios	Expenses Paid During the Period⁽¹⁾
TrueShares Structured Outcome (July) ETF	$ 1,000.00	$ 1,081.10	0.79%	$4.14
TrueShares Structured Outcome (August) ETF	1,000.00	1,084.80	0.80	4.20
TrueShares Structured Outcome (September) ETF	1,000.00	1,089.90	0.79	4.16
TrueShares Structured Outcome (October) ETF	1,000.00	1,080.20	0.80	4.19
TrueShares Structured Outcome (November) ETF	1,000.00	1,086.50	0.79	4.15
TrueShares Structured Outcome (December) ETF	1,000.00	1,079.00	0.80	4.19
TrueShares Structured Outcome (January) ETF	1,000.00	1,081.20	0.79	4.14
TrueShares Structured Outcome (February) ETF	1,000.00	1,087.70	0.79	4.16
TrueShares Structured Outcome (March) ETF	1,000.00	1,084.70	0.79	4.15
TrueShares Structured Outcome (April) ETF	1,000.00	1,080.10	0.79	4.14
TrueShares Structured Outcome (May) ETF	1,000.00	1,081.00	0.79	4.14
TrueShares Structured Outcome (June) ETF	1,000.00	1,081.60	0.79	4.14

⁽¹⁾	Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period).

TrueShares Structured Outcome ETFs

Shareholder Expense Example

(Unaudited) (Continued)

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

The following table provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual expense ratios and an assumed rate of return of 5% per year before expenses, which are not the Funds’ actual returns. 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 Funds 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 with respect to the Funds. Therefore, the table below is useful in comparing ongoing 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 Account Value (07/01/2021)	Ending Account Value (12/31/2021)	Annualized Expense Ratios	Expenses Paid During the Period⁽¹⁾
TrueShares Structured Outcome (July) ETF	$ 1,000.00	$ 1,021.22	0.79%	$4.02
TrueShares Structured Outcome (August) ETF	1,000.00	1,021.17	0.80	4.08
TrueShares Structured Outcome (September) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (October) ETF	1,000.00	1,021.17	0.80	4.08
TrueShares Structured Outcome (November) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (December) ETF	1,000.00	1,021.17	0.80	4.08
TrueShares Structured Outcome (January) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (February) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (March) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (April) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (May) ETF	1,000.00	1,021.22	0.79	4.02
TrueShares Structured Outcome (June) ETF	1,000.00	1,021.22	0.79	4.02

⁽¹⁾	Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the six-month period).

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited)

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

¹	The Fund has an inception date of June 30, 2020 and commenced operations on July 1, 2020.

¹	The Fund has an inception date of July 31, 2020 and commenced operations on August 3, 2020.

¹	The Fund has an inception date of August 31, 2020 and commenced operations on September 1, 2020.

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (July) ETF – NAV	20.56%	25.56%
TrueShares Structured Outcome (July) ETF – Market	20.66%	25.44%
S&P 500 Price Index	26.89%	33.10%

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (August) ETF – NAV	20.83%	23.43%
TrueShares Structured Outcome (August) ETF – Market	20.74%	23.16%
S&P 500 Price Index	26.89%	30.37%

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (September) ETF – NAV	21.47%	21.29%
TrueShares Structured Outcome (September) ETF – Market	21.83%	21.19%
S&P 500 Price Index	26.89%	26.03%

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

¹	The Fund has an inception date of September 30, 2020 and commenced operations on October 1, 2020.

¹	The Fund has an inception date of October 30, 2020 and commenced operations on November 2, 2020.

¹	The Fund has an inception date of November 30, 2020 and commenced operations on December 1, 2020.

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (October) ETF – NAV	20.37%	24.08%
TrueShares Structured Outcome (October) ETF – Market	20.49%	23.93%
S&P 500 Price Index	26.89%	32.12%

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (November) ETF – NAV	21.40%	28.55%
TrueShares Structured Outcome (November) ETF – Market	21.46%	28.45%
S&P 500 Price Index	26.89%	38.00%

ANNUALIZED TOTAL RETURN FOR THE PERIODS ENDED DECEMBER 31, 2021
Total Returns	1 Year	Since Commencement¹
TrueShares Structured Outcome (December) ETF – NAV	20.17%	20.36%
TrueShares Structured Outcome (December) ETF – Market	20.15%	20.32%
S&P 500 Price Index	26.89%	28.80%

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

¹	The Fund has an inception date of December 31, 2020 and commenced operations on January 4, 2021.

¹	The Fund has an inception date of January 29, 2021 and commenced operations on February 1, 2021.

¹	The Fund has an inception date of February 26, 2021 and commenced operations on March 1, 2021.

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (January) ETF – NAV	21.65%
TrueShares Structured Outcome (January) ETF – Market	21.66%
S&P 500 Price Index	26.89%

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (February) ETF – NAV	20.58%
TrueShares Structured Outcome (February) ETF – Market	20.56%
S&P 500 Price Index	28.32%

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (March) ETF – NAV	17.24%
TrueShares Structured Outcome (March) ETF – Market	17.14%
S&P 500 Price Index	25.06%

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

Hypothetical Growth of $10,000 Investment
(Since Commencement through 12/31/2021)

¹	The Fund has an inception date of March 31, 2021 and commenced operations on April 1, 2021.

¹	The Fund has an inception date of April 30, 2021 and commenced operations on May 3, 2021.

¹	The Fund has an inception date of May 28, 2021 and commenced operations on June 1, 2021.

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (April) ETF – NAV	13.59%
TrueShares Structured Outcome (April) ETF – Market	13.49%
S&P 500 Price Index	19.97%

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (May) ETF – NAV	10.39%
TrueShares Structured Outcome (May) ETF – Market	10.17%
S&P 500 Price Index	13.99%

CUMULATIVE TOTAL RETURN FOR THE PERIOD ENDED DECEMBER 31, 2021
Total Returns	Since Commencement¹
TrueShares Structured Outcome (June) ETF – NAV	10.13%
TrueShares Structured Outcome (June) ETF – Market	9.96%
S&P 500 Price Index	13.37%

TrueShares Structured Outcome ETFs

Performance Overviews

December 31, 2021 (Unaudited) (Continued)

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 (877) 774-8789. You cannot invest directly in an index. Shares are bought and sold at market price (closing price), not net asset value (NAV), and are individually redeemed from the Fund. Market performance is determined using the bid/ask midpoint at 4:00pm 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. In the absence of fee waivers and reimbursements, total returns would be reduced.

The S&P 500^® Index is a widely recognized capitalization-weighted index that measures the performance of the large-capitalization sector of the U.S. stock market. The S&P 500 Price Index does not include reinvestment of dividends.

TrueShares Structured Outcome (July) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 92.2%
U.S. Treasury Bills — 92.2%
0.28%, 12/01/2022 ^(b)(c)		13,831,000	$	13,795,413
TOTAL SHORT-TERM INVESTMENTS (Cost $13,805,336)				13,795,413

	Number of Contracts ^(a)		Value			Notional Value
PURCHASED OPTIONS — 9.3%
PURCHASED CALL OPTIONS — 9.3%
CBOE SPDR S&P 500 ETF Trust
Expiration: June 2022, Exercise Price: $430		246	$	1,386,999		$	11,684,016
TOTAL PURCHASED OPTIONS (Cost $701,912)				1,386,999

Total Investments (Cost $14,507,248) — 101.5%				15,182,412
Other assets and liabilities, net — (1.5)%				(219,593	)
TOTAL NET ASSETS — 100.0%			$	14,962,819

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (1.7)%
WRITTEN PUT OPTIONS — (1.7)%
CBOE SPDR S&P 500 ETF Trust
Expiration: June 2022, Exercise Price: $387		357	$	249,401	$	16,956,072
TOTAL WRITTEN OPTIONS (Premiums Received $673,867)			$	249,401

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (August) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares / Principal Amount		Value
SHORT-TERM INVESTMENTS — 93.6%
Money Market Funds — 0.1%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)		11,839	$	11,839
Total Money Market Funds (Cost $11,839)				11,839

U.S. Treasury Bills — 93.5%
0.02%, 1/27/2022 ^(c)(d)		17,342,000		17,341,740
Total U.S. Treasury Bills (Cost $17,341,724)				17,341,740
TOTAL SHORT-TERM INVESTMENTS (Cost $17,353,563)				17,353,579

	Number of Contracts ^(b)		Value			Notional Value
PURCHASED OPTIONS — 8.6%
PURCHASED CALL OPTIONS — 8.6%
CBOE SPDR S&P 500 ETF Trust
Expiration: July 2022 Exercise Price: $438		301	$	1,590,677		$	14,296,296
TOTAL PURCHASED OPTIONS (Cost $930,482)				1,590,677

TOTAL INVESTMENTS (Cost $18,284,045) — 102.2%				18,944,256
Other assets and liabilities, net — (2.2)%				(407,904	)
TOTAL NET ASSETS — 100.0%			$	18,536,352

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	Each contract has a multiplier of 100.

^(c)	The rate shown is the effective yield as of December 31, 2021.

^(d)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (2.1)%
WRITTEN PUT OPTIONS — (2.1)%
CBOE SPDR S&P 500 ETF Trust
Expiration: July 2022, Exercise Price: $394		440	$	396,934	$	20,898,240
TOTAL WRITTEN OPTIONS (Premiums Received $877,178)			$	396,934

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (September) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 95.8%
U.S. Treasury Bills — 95.8%
0.04%, 03/03/2022 ^(b)(c)		24,768,000	$	24,766,275
TOTAL SHORT-TERM INVESTMENTS (Cost $24,766,793)				24,766,275

	Number of Contracts ^(a)		Value			Notional Value
PURCHASED OPTIONS — 7.2%
PURCHASED CALL OPTIONS — 7.2%
CBOE SPDR S&P 500 ETF Trust
Expiration: August 31, 2022, Exercise Price: $452		419	$	1,867,572		$	19,900,824
TOTAL PURCHASED OPTIONS (Cost $1,280,468)				1,867,572

TOTAL INVESTMENTS (Cost $26,047,261) — 103.0%				26,633,847
Other assets and liabilities, net — (3.0)%				(772,567	)
TOTAL NET ASSETS — 100.0%			$	25,861,280

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (3.0)%
WRITTEN PUT OPTIONS — (3.0)%
CBOE SPDR S&P 500 ETF Trust
Expiration: August 31, 2022, Exercise Price: $407		609	$	772,394	$	28,925,064
TOTAL WRITTEN OPTIONS (Premiums Received $1,293,861)			$	772,394

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (October) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares / Principal Amount		Value
SHORT-TERM INVESTMENTS — 93.0%
Money Market Funds — 0.7%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)		57,731	$	57,731
Total Money Market Funds (Cost $57,731)				57,731

U.S. Treasury Bills — 92.3%
0.05%, 3/31/2022 ^(c)(d)		7,560,000		7,559,130
Total U.S. Treasury Bills (Cost $7,559,550)				7,559,130
TOTAL SHORT-TERM INVESTMENTS (Cost $7,617,281)				7,616,861

	Number of Contracts ^(b)		Value			Notional Value
PURCHASED OPTIONS — 9.9%
PURCHASED CALL OPTIONS — 9.9%
CBOE SPDR S&P 500 ETF Trust
Expiration: September 30, 2022, Exercise Price: $434		136	$	808,985		$	6,459,456
TOTAL PURCHASED OPTIONS (Cost $501,152)				808,985

TOTAL INVESTMENTS (Cost $8,118,433) — 102.9%				8,425,846
Other assets and liabilities, net — (2.9)%				(237,278	)
TOTAL NET ASSETS — 100.0%			$	8,188,568

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	Each contract has a multiplier of 100.

^(c)	The rate shown is the effective yield as of December 31, 2021.

^(d)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (2.8)%
WRITTEN PUT OPTIONS — (2.8)%
CBOE SPDR S&P 500 ETF Trust
Expiration: September 30, 2022, Exercise Price: $391		193	$	232,234	$	9,166,728
TOTAL WRITTEN OPTIONS (Premiums Received $408,908)			$	232,234

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (November) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 91.7%
U.S. Treasury Bills — 91.7%
0.02%, 2/3/2022 ^(b)(c)		13,000,000	$	12,999,720
TOTAL SHORT-TERM INVESTMENTS (Cost $12,999,680)				12,999,720

	Number of Contracts ^(a)		Value		Notional Value
PURCHASED OPTIONS — 6.8%
PURCHASED CALL OPTIONS — 6.8%
CBOE SPDR S&P 500 ETF Trust
Expiration: October 31, 2022, Exercise Price: $460		227	$	960,398	$	10,781,592
TOTAL PURCHASED OPTIONS (Cost $807,081)				960,398

TOTAL INVESTMENTS (Cost $13,806,761) — 98.5%				13,960,118
Other assets and liabilities, net — 1.5%				220,458
TOTAL NET ASSETS — 100.0%			$	14,180,576

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (4.1)%
WRITTEN PUT OPTIONS — (4.1)%
CBOE SPDR S&P 500 ETF Trust
Expiration: October 31, 2022, Exercise Price: $414		333	$	574,611	$	15,816,168
TOTAL WRITTEN OPTIONS (Premiums Received $688,055)			$	574,611

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (December) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares / Principal Amount		Value
SHORT-TERM INVESTMENTS — 97.2%
Money Market Funds — 1.3%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)(d)		78,445	$	78,445
Total Money Market Funds (Cost $78,445)				78,445

U.S. Treasury Bills — 95.9%
0.02%, 2/24/2022 ^(c)(d)		5,110,000		5,109,834
0.37%, 12/29/2022 ^(c)(d)		730,000		727,287
Total U.S. Treasury Bills (Cost $5,837,576)				5,837,121
TOTAL SHORT-TERM INVESTMENTS (Cost $5,916,021)				5,915,566

	Number of Contracts ^(b)		Value			Notional Value
PURCHASED OPTIONS — 8.5%
PURCHASED CALL OPTIONS — 8.5%
CBOE SPDR S&P 500 ETF Trust
Expiration: November 30, 2022, Exercise Price: $451		101	$	517,783		$	4,797,096
TOTAL PURCHASED OPTIONS (Cost $434,238)				517,783

TOTAL INVESTMENTS (Cost $6,350,259) — 105.7%				6,433,349
Other assets and liabilities, net — (5.7)%				(347,551	)
TOTAL NET ASSETS — 100.0%			$	6,085,798

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	Each contract has a multiplier of 100.

^(c)	The rate shown is the effective yield as of December 31, 2021.

^(d)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (4.1)%
WRITTEN PUT OPTIONS — (4.1)%
CBOE SPDR S&P 500 ETF Trust
Expiration: Novemver 30, 2022, Exercise Price: $405		144	$	247,828	$	6,839,424
TOTAL WRITTEN OPTIONS (Premiums Received $331,820)			$	247,828

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (January) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares		Value
INVESTMENT COMPANIES — 89.2%
Exchange Traded Funds — 89.2%
SPDR S&P 500 ETF Trust ^(b)		4,100	$	1,947,336
TOTAL EXCHANGE TRADED FUNDS (Cost $1,957,256)				1,947,336

	Shares		Value
SHORT-TERM INVESTMENTS — 180.7%
Money Market Funds — 180.7%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)		3,941,995	$	3,941,995
TOTAL SHORT-TERM INVESTMENTS (Cost $3,941,995)				3,941,995

TOTAL INVESTMENTS (Cost $5,899,251) — 269.9%				5,889,331
Other assets and liabilities, net — (169.9)%				(3,707,190	)
TOTAL NET ASSETS — 100.0%			$	2,182,141

Percentages are stated as a percent of net assets.

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	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.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (February) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares / Principal Amount		Value
SHORT-TERM INVESTMENTS — 82.4%
Money Market Funds — 0.5%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)		20,625	$	20,625
Total Money Market Funds (Cost $20,625)				20,625

U.S. Treasury Bills — 81.9%
0.01%, 1/20/2022 ^(c)(d)		3,085,000		3,084,989
Total U.S. Treasury Bills (Cost $3,084,967)				3,084,989
TOTAL SHORT-TERM INVESTMENTS (Cost $3,105,592)				3,105,614

	Number of Contracts ^(b)		Value			Notional Value
PURCHASED OPTIONS — 17.7%
PURCHASED CALL OPTIONS — 17.7%
CBOE SPDR S&P 500 ETF Trust
Expiration: January 31, 2022, Exercise Price: $376		67	$	666,628		$	3,182,232
TOTAL PURCHASED OPTIONS (Cost $333,708)				666,628

TOTAL INVESTMENTS (Cost $3,439,300) — 100.1%				3,772,242
Other assets and liabilities, net — (0.1)%				(3,996	)
TOTAL NET ASSETS — 100.0%			$	3,768,246

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	Each contract has a multiplier of 100.

^(c)	The rate shown is the effective yield as of December 31, 2021.

^(d)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (0.0)% ^(b)
WRITTEN PUT OPTIONS — (0.0)% ^(b)
CBOE SPDR S&P 500 ETF Trust
Expiration: January 31, 2022, Exercise Price: $338		90	$	1,513	$	4,274,640
TOTAL WRITTEN OPTIONS (Premiums Received $136,910)			$	1,513

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	Amount is less than (0.05)%.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (March) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 86.1%
U.S. Treasury Bills — 86.1%
0.02%, 2/24/2022 ^(b)(c)		4,925,000	$	4,924,839
TOTAL SHORT-TERM INVESTMENTS (Cost $4,924,778)				4,924,839

	Number of Contracts ^(a)		Value			Notional Value
PURCHASED OPTIONS — 16.4%
PURCHASED CALL OPTIONS — 16.4%
CBOE SPDR S&P 500 ETF Trust
Expiration: February 28, 2022, Exercise Price: $389		108	$	939,923		$	5,129,568
TOTAL PURCHASED OPTIONS (Cost $320,039)				939,923

TOTAL INVESTMENTS (Cost $5,244,817) — 102.5%				5,864,762
Other assets and liabilities, net — (2.5)%				(141,260	)
TOTAL NET ASSETS — 100.0%			$	5,723,502

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (0.2)%
WRITTEN PUT OPTIONS — (0.2)%
CBOE SPDR S&P 500 ETF Trust
Expiration: February 28, 2022, Exercise Price: $350		140	$	8,916	$	6,649,440
TOTAL WRITTEN OPTIONS (Premiums Received $317,868)			$	8,916

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (April) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Shares / Principal Amount		Value
SHORT-TERM INVESTMENTS — 89.0%
Money Market Funds — 1.5%
First American Treasury Obligations Fund - Class X, 0.01% ^(a)		92,514	$	92,514
Total Money Market Funds (Cost $92,514)				92,514

U.S. Treasury Bills — 87.5%
0.04%, 3/10/2022 ^(c)(d)		5,591,000		5,590,616
Total U.S. Treasury Bills (Cost $5,590,800)				5,590,616
TOTAL SHORT-TERM INVESTMENTS (Cost $5,683,314)				5,683,130

	Number of Contracts ^(b)		Value			Notional Value
PURCHASED OPTIONS — 12.9%
PURCHASED CALL OPTIONS — 12.9%
CBOE SPDR S&P 500 ETF Trust
Expiration: March 31, 2022, Exercise Price: $401		107	$	825,917		$	5,082,072
TOTAL PURCHASED OPTIONS (Cost $396,622)				825,917

TOTAL INVESTMENTS (Cost $6,079,936) — 101.9%				6,509,047
Other assets and liabilities, net — (1.9)%				(119,602	)
TOTAL NET ASSETS — 100.0%			$	6,389,445

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	The rate shown is the seven-day yield at period end.

^(b)	Each contract has a multiplier of 100.

^(c)	The rate shown is the effective yield as of December 31, 2021.

^(d)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (0.4)%
WRITTEN PUT OPTIONS — (0.4)%
CBOE SPDR S&P 500 ETF Trust
Expiration: March 31, 2022, Exercise Price: $361		155	$	24,912	$	7,361,880
TOTAL WRITTEN OPTIONS (Premiums Received $277,617)			$	24,912

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (May) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 91.6%
U.S. Treasury Bills — 91.6%
0.01%, 2/22/2022 ^(b)(c)		4,962,000	$	4,961,914
TOTAL SHORT-TERM INVESTMENTS (Cost $4,961,785)				4,961,914

	Number of Contracts ^(a)		Value			Notional Value
PURCHASED OPTIONS — 11.1%
PURCHASED CALL OPTIONS — 11.1%
CBOE SPDR S&P 500 ETF Trust
Expiration: April 29, 2022, Exercise Price: $418		95	$	601,699		$	4,512,120
TOTAL PURCHASED OPTIONS (Cost $246,833)				601,699

TOTAL INVESTMENTS (Cost $5,208,618) — 102.7%				5,563,613
Other assets and liabilities, net — (2.7)%				(146,363	)
TOTAL NET ASSETS — 100.0%			$	5,417,250

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (0.1)%
WRITTEN PUT OPTIONS — (0.1)%
CBOE SPDR S&P 500 ETF Trust
Expiration: April 29, 2022, Exercise Price: $376		131	$	43,647	$	6,221,976
TOTAL WRITTEN OPTIONS (Premiums Received $251,029)			$	43,647

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome (June) ETF

Schedule of Investments

December 31, 2021

Sector Diversification *

*	Percentages are stated as a percent of net assets. Percentages expressed exclude written options.

	Principal Amount		Value
SHORT-TERM INVESTMENTS — 90.1%
U.S. Treasury Bills — 90.1%
0.02%, 2/24/2022 ^(b)(c)		3,710,000	$	3,709,879
TOTAL SHORT-TERM INVESTMENTS (Cost $3,709,833)				3,709,879

	Number of Contracts ^(a)		Value			Notional Value
PURCHASED OPTIONS — 11.0%
PURCHASED CALL OPTIONS — 11.0%
CBOE SPDR S&P 500 ETF Trust
Expiration: May 31, 2022, Exercise Price: $420		70	$	452,137		$	3,324,720
TOTAL PURCHASED OPTIONS (Cost $202,464)				452,137

TOTAL INVESTMENTS (Cost $3,912,297) — 101.1%				4,162,016
Other assets and liabilities, net — (1.1)%				(45,226	)
TOTAL NET ASSETS — 100.0%			$	4,116,790

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

^(b)	The rate shown is the effective yield as of December 31, 2021.

^(c)	Designated as collateral for written options.

Schedule of Written Options

December 31, 2021

	Number of Contracts ^(a)		Value		Notional Value
WRITTEN OPTIONS — (1.1)%
WRITTEN PUT OPTIONS — (1.1)%
CBOE SPDR S&P 500 ETF Trust
Expiration: May 31, 2022, Exercise Price: $378		98	$	46,122	$	4,654,608
TOTAL WRITTEN OPTIONS (Premiums Received $174,933)			$	46,122

Percentages are stated as a percent of net assets.

CBOE Chicago Board Options Exchange

SPDR Standard & Poor’s Depositary Receipt

^(a)	Each contract has a multiplier of 100.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021

	TrueShares Structured Outcome (July) ETF			TrueShares Structured Outcome (August) ETF			TrueShares Structured Outcome (September) ETF			TrueShares Structured Outcome (October) ETF
Assets
Investments, at value⁽¹⁾	$	15,182,412		$	18,944,256		$	26,633,847		$	8,425,846
Cash held as collateral for written options		39,645			—			—			—
Transaction fee receivable		176			—			—			—
Deposits at broker for options		444			1,251			27,117			349
Interest receivable		—			—			—			1
Total assets		15,222,677			18,945,507			26,660,964			8,426,196

Liabilities
Payable to Adviser		10,457			12,221			17,068			5,394
Written options, at value⁽²⁾		249,401			396,934			772,394			232,234
Due to custodian		—			—			10,222			—
Total liabilities		259,858			409,155			799,684			237,628
Net Assets	$	14,962,819		$	18,536,352		$	25,861,280		$	8,188,568

Net Assets Consists of:
Paid-in capital	$	13,863,189		$	17,395,897		$	24,753,227		$	7,779,213
Total distributable earnings		1,099,630			1,140,455			1,108,053			409,355
Net Assets	$	14,962,819		$	18,536,352		$	25,861,280		$	8,188,568

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)		425,000			550,000			800,000			250,000
Net Asset Value, redemption price and offering price per share	$	35.21		$	33.70		$	32.33		$	32.75

⁽¹⁾ Cost of investments	$	14,507,248		$	18,284,045		$	26,047,261		$	8,118,433
⁽²⁾ Premiums received		(673,867	)		(877,178	)		(1,293,861	)		(408,908	)

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021 (Continued)

	TrueShares Structured Outcome (November) ETF			TrueShares Structured Outcome (December) ETF			TrueShares Structured Outcome (January) ETF			TrueShares Structured Outcome (February) ETF
Assets
Investments, at value⁽¹⁾	$	13,960,118		$	6,433,349		$	5,889,331		$	3,772,242
Receivable for Fund shares sold		834,135			—			—			—
Receivable for investment securities sold		34,799			—			1,947,336			—
Transaction fee receivable		—			152			—			—
Deposits at broker for options		66			—			1			—
Interest receivable		1			1			1			—
Total assets		14,829,119			6,433,502			7,836,669			3,772,242

Liabilities
Payable to Adviser		8,841			2,941			1,502			2,483
Written options, at value⁽²⁾		574,611			247,828			—			1,513
Due to Custodian		10,101			—			—			—
Payable to broker for options		—			96,935			—			—
Payable for Fund shares redeemed		—			—			2,182,830			—
Payable for investment securities purchased		54,990			—			3,470,196			—
Total liabilities		648,543			347,704			5,654,528			3,996
Net Assets	$	14,180,576		$	6,085,798		$	2,182,141		$	3,768,246

Net Assets Consists of:
Paid-in capital	$	13,913,775		$	5,839,876		$	2,192,061		$	3,299,907
Total distributable earnings		266,801			245,922			(9,920	)		468,339
Net Assets	$	14,180,576		$	6,085,798		$	2,182,141		$	3,768,246

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)		425,000			200,000			75,000			125,000
Net Asset Value, redemption price and offering price per share	$	33.37		$	30.43		$	29.10		$	30.15

⁽¹⁾ Cost of investments	$	13,806,761		$	6,350,259		$	5,899,251		$	3,439,300
⁽²⁾ Premiums received		(688,055	)		(331,820	)		—			(136,910	)

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Assets and Liabilities

December 31, 2021 (Continued)

	TrueShares Structured Outcome (March) ETF			TrueShares Structured Outcome (April) ETF			TrueShares Structured Outcome (May) ETF			TrueShares Structured Outcome (June) ETF
Assets
Investments, at value⁽¹⁾	$	5,864,762		$	6,509,047		$	5,563,613		$	4,162,016
Transaction fee receivable		—			142			—			—
Deposits at broker for options		—			—			—			11,202
Total assets		5,864,762			6,509,189			5,563,613			4,173,218

Liabilities
Payable to Adviser		3,874			3,747			3,635			2,723
Written options, at value⁽²⁾		8,916			24,912			43,647			46,122
Due to Custodian		128,470			91,085			99,081			7,583
Total liabilities		141,260			119,744			146,363			56,428
Net Assets	$	5,723,502		$	6,389,445		$	5,417,250		$	4,116,790

Net Assets Consists of:
Paid-in capital	$	4,767,135		$	5,707,756		$	4,854,873		$	3,738,276
Total distributable earnings		956,367			681,689			562,377			378,514
Net Assets	$	5,723,502		$	6,389,445		$	5,417,250		$	4,116,790

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)		200,000			225,000			200,000			150,000
Net Asset Value, redemption price and offering price per share	$	28.62		$	28.40		$	27.09		$	27.45

⁽¹⁾ Cost of investments	$	5,244,817		$	6,079,936		$	5,208,618		$	3,912,297
⁽²⁾ Premiums received		(317,868	)		(277,617	)		(251,029	)		(174,933	)

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Operations

For the Year Ended December 31, 2021

	TrueShares Structured Outcome (July) ETF			TrueShares Structured Outcome (August) ETF			TrueShares Structured Outcome (September) ETF			TrueShares Structured Outcome (October) ETF
Investment Income
Interest income	$	3,697		$	2,848		$	4,505		$	1,443
Total investment income		3,697			2,848			4,505			1,443

Expenses
Investment advisory fees		90,856			103,873			119,061			40,483
Interest expense		31			452			31			185
Total expenses		90,887			104,325			119,092			40,668
Net investment loss		(87,190	)		(101,477	)		(114,587	)		(39,225	)

Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Investments		1,067,750			1,624,008			1,634,540			(79,590	)
Purchased options		354,228			(628	)		67,261			585,222
Written options		454,284			542,099			759,384			259,835
Net realized gain		1,876,262			2,165,479			2,461,185			765,467
Net change in unrealized appreciation/depreciation on:
Investments		(8,809	)		(73	)		(646	)		(426	)
Purchased options		78,509			67,512			222,236			132,511
Written options		108,238			129,879			82,543			41,439
Net change in unrealized appreciation/depreciation		177,938			197,318			304,133			173,524
Net realized and unrealized gain on investments		2,054,200			2,362,797			2,765,318			938,991
Net increase in net assets from operations	$	1,967,010		$	2,261,320		$	2,650,731		$	899,766

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Operations

For the Year or Period Ended December 31, 2021 (Continued)

	TrueShares Structured Outcome (November) ETF			TrueShares Structured Outcome (December) ETF			TrueShares Structured Outcome (January) ETF⁽¹⁾			TrueShares Structured Outcome (February) ETF⁽²⁾
Investment Income
Interest income	$	1,116		$	1,049		$	625		$	579
Total investment income		1,116			1,049			625			579

Expenses
Investment advisory fees		34,265			31,622			23,955			18,908
Interest expense		—			166			—			—
Total expenses		34,265			31,788			23,955			18,908
Net investment loss		(33,149	)		(30,739	)		(23,330	)		(18,329	)

Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Investments		524,783			332,121			311,691			—
Purchased options		—			86,545			112,522			—
Written options		126,135			211,005			185,982			—
Net realized gain		650,918			629,671			610,195			—
Net change in unrealized appreciation/depreciation on:
Investments		153			12			(9,920	)		22
Purchased options		63,833			3,388			—			332,920
Written options		67,840			66,808			—			135,397
Net change in unrealized appreciation/depreciation		131,826			70,208			(9,920	)		468,339
Net realized and unrealized gain on investments		782,744			699,879			600,275			468,339
Net increase in net assets from operations	$	749,595		$	669,140		$	576,945		$	450,010

⁽¹⁾	The Fund commenced operations on January 4, 2021.

⁽²⁾	The Fund commenced operations on February 1, 2021.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Operations

For the Period Ended December 31, 2021 (Continued)

	TrueShares Structured Outcome (March) ETF⁽¹⁾			TrueShares Structured Outcome (April) ETF⁽²⁾			TrueShares Structured Outcome (May) ETF⁽³⁾			TrueShares Structured Outcome (June) ETF⁽⁴⁾
Investment Income
Interest income	$	1,502		$	717		$	782		$	466
Total investment income		1,502			717			782			466

Expenses
Investment advisory fees		45,105			31,110			34,760			19,274
Interest expense		8			—			—			48
Total expenses		45,113			31,110			34,760			19,322
Net investment loss		(43,611	)		(30,393	)		(33,978	)		(18,856	)

Realized and Unrealized Gain (Loss) on Investments
Net realized gain (loss) on:
Investments		(406	)		(127	)		(330	)		(54	)
Purchased options		154,139			—			115,747			21,757
Written options		136,153			—			62,481			12,865
Net realized gain (loss)		289,886			(127	)		177,898			34,568
Net change in unrealized appreciation/depreciation on:
Investments		61			(184	)		129			46
Purchased options		619,884			429,295			354,866			249,673
Written options		308,952			252,705			207,382			128,811
Net change in unrealized appreciation/depreciation		928,897			681,816			562,377			378,530
Net realized and unrealized gain on investments		1,218,783			681,689			740,275			413,098
Net increase in net assets from operations	$	1,175,172		$	651,296		$	706,297		$	394,242

⁽¹⁾	The Fund commenced operations on March 1, 2021.

⁽²⁾	The Fund commenced operations on April 1, 2021.

⁽³⁾	The Fund commenced operations on May 3, 2021.

⁽⁴⁾	The Fund commenced operations on June 1, 2021.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

	TrueShares Structured Outcome (July) ETF						TrueShares Structured Outcome (August) ETF
	Year Ended December 31, 2021			Period Ended December 31, 2020⁽¹⁾			Year Ended December 31, 2021			Period Ended December 31, 2020⁽²⁾
From Operations
Net investment loss	$	(87,190	)	$	(20,285	)	$	(101,477	)	$	(25,706	)
Net realized gain (loss) on investments, purchased options and written options		1,876,262			(9	)		2,165,479			(6,295	)
Net change in unrealized appreciation on investments, purchased options and written options		177,938			921,692			197,318			943,137
Net increase in net assets resulting from operations		1,967,010			901,398			2,261,320			911,136

From Capital Share Transactions
Proceeds from shares sold		20,985,980			5,668,907			19,761,993			9,433,430
Cost of shares redeemed		(14,565,157	)		—			(12,554,495	)		(1,281,010	)
Transaction fees (Note 4)		4,172			509			2,335			1,643
Net increase in net assets resulting from capital share transactions		6,424,995			5,669,416			7,209,833			8,154,063

Total Increase in Net Assets		8,392,005			6,570,814			9,471,153			9,065,199

Net Assets
Beginning of period		6,570,814			—			9,065,199			—
End of period	$	14,962,819		$	6,570,814		$	18,536,352		$	9,065,199

Changes in Shares Outstanding
Shares outstanding, beginning of period		225,000			—			325,000			—
Shares sold		650,000			225,000			625,000			375,000
Shares redeemed		(450,000	)		—			(400,000	)		(50,000	)
Shares outstanding, end of period		425,000			225,000			550,000			325,000

⁽¹⁾	The Fund commenced operations on July 1, 2020.

⁽²⁾	The Fund commenced operations on August 3, 2020.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

	TrueShares Structured Outcome (September) ETF						TrueShares Structured Outcome (October) ETF
	Year Ended December 31, 2021			Period Ended December 31, 2020⁽¹⁾			Year Ended December 31, 2021			Period Ended December 31, 2020⁽²⁾
From Operations
Net investment loss	$	(114,587	)	$	(25,848	)	$	(39,225	)	$	(6,776	)
Net realized gain on investments, purchased options and written options		2,461,185			41,817			765,467			664
Net change in unrealized appreciation on investments, purchased options and written options		304,133			803,920			173,524			310,563
Net increase in net assets resulting from operations		2,650,731			819,889			899,766			304,451

From Distributions
Distributable earnings		(12,776	)		—			—			—
Total distributions		(12,776	)		—			—			—

From Capital Share Transactions
Proceeds from shares sold		24,834,405			11,765,612			7,794,455			3,777,110
Cost of shares redeemed		(12,264,850	)		(1,937,040	)		(4,588,095	)		—
Transaction fees (Note 4)		3,068			2,241			625			256
Net increase in net assets resulting from capital share transactions		12,572,623			9,830,813			3,206,985			3,777,366

Total Increase in Net Assets		15,210,578			10,650,702			4,106,751			4,081,817

Net Assets
Beginning of period		10,650,702			—			4,081,817			—
End of period	$	25,861,280		$	10,650,702		$	8,188,568		$	4,081,817

Changes in Shares Outstanding
Shares outstanding, beginning of period		400,000			—			150,000			—
Shares sold		800,000			475,000			250,000			150,000
Shares redeemed		(400,000	)		(75,000	)		(150,000	)		—
Shares outstanding, end of period		800,000			400,000			250,000			150,000

⁽¹⁾	The Fund commenced operations on September 1, 2020.

⁽²⁾	The Fund commenced operations on October 1, 2020.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

	TrueShares Structured Outcome (November) ETF						TrueShares Structured Outcome (December) ETF
	Year Ended December 31, 2021			Period Ended December 31, 2020⁽¹⁾			Year Ended December 31, 2021			Period Ended December 31, 2020⁽²⁾
From Operations
Net investment loss	$	(33,149	)	$	(3,243	)	$	(30,739	)	$	(3,119	)
Net realized gain on investments, purchased options and written options		650,918			129,264			629,671			—
Net change in unrealized appreciation on investments, purchased options and written options		131,826			134,975			70,208			96,874
Net increase in net assets resulting from operations		749,595			260,996			669,140			93,755

From Distributions
Distributable earnings		(69,396	)		—			(24,407	)		—
Total distributions		(69,396	)		—			(24,407	)		—

From Capital Share Transactions
Proceeds from shares sold		15,384,297			2,500,000			6,041,427			5,629,050
Cost of shares redeemed		(3,267,210	)		(1,380,240	)		(6,324,773	)		—
Transaction fees (Note 4)		2,258			276			980			626
Net increase in net assets resulting from capital share transactions		12,119,345			1,120,036			(282,366	)		5,629,676

Total Increase in Net Assets		12,799,544			1,381,032			362,367			5,723,431

Net Assets
Beginning of period		1,381,032			—			5,723,431			—
End of period	$	14,180,576		$	1,381,032		$	6,085,798		$	5,723,431

Changes in Shares Outstanding
Shares outstanding, beginning of period		50,000			—			225,000			—
Shares sold		475,000			100,000			200,000			225,000
Shares redeemed		(100,000	)		(50,000	)		(225,000	)		—
Shares outstanding, end of period		425,000			50,000			200,000			225,000

⁽¹⁾	The Fund commenced operations on November 2, 2020.

⁽²⁾	The Fund commenced operations on December 1, 2020.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

	TrueShares Structured Outcome (January) ETF			TrueShares Structured Outcome (February) ETF			TrueShares Structured Outcome (March) ETF
	Period Ended December 31, 2021⁽¹⁾			Period Ended December 31, 2021⁽²⁾			Period Ended December 31, 2021⁽³⁾
From Operations
Net investment loss	$	(23,330	)	$	(18,329	)	$	(43,611	)
Net realized gain on investments, purchased options and written options		610,195			—			289,886
Net change in unrealized appreciation/depreciation on investments, purchased options and written options		(9,920	)		468,339			928,897
Net increase in net assets resulting from operations		576,945			450,010			1,175,172

From Distributions
Distributable earnings		(98,735	)		—			(139,114	)
Total distributions		(98,735	)		—			(139,114	)

From Capital Share Transactions
Proceeds from shares sold		5,331,918			3,317,822			9,433,670
Cost of shares redeemed		(3,628,405	)		—			(4,748,812	)
Transaction fees (Note 4)		418			414			2,586
Net increase in net assets resulting from capital share transactions		1,703,931			3,318,236			4,687,444

Total Increase in Net Assets		2,182,141			3,768,246			5,723,502

Net Assets
Beginning of period		—			—			—
End of period	$	2,182,141		$	3,768,246		$	5,723,502

Changes in Shares Outstanding
Shares outstanding, beginning of period		—			—			—
Shares sold		200,000			125,000			375,000
Shares redeemed		(125,000	)		—			(175,000	)
Shares outstanding, end of period		75,000			125,000			200,000

⁽¹⁾	The Fund commenced operations on January 4, 2021.

⁽²⁾	The Fund commenced operations on February 1, 2021.

⁽³⁾	The Fund commenced operations on March 1, 2021.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Statements of Changes in Net Assets

(Continued)

	TrueShares Structured Outcome (April) ETF			TrueShares Structured Outcome (May) ETF			TrueShares Structured Outcome (June) ETF
	Period Ended December 31, 2021⁽¹⁾			Period Ended December 31, 2021⁽²⁾			Period Ended December 31, 2021⁽³⁾
From Operations
Net investment loss	$	(30,393	)	$	(33,978	)	$	(18,856	)
Net realized gain (loss) on investments, purchased options and written options		(127	)		177,898			34,568
Net change in unrealized appreciation on investments, purchased options and written options		681,816			562,377			378,530
Net increase in net assets resulting from operations		651,296			706,297			394,242

From Distributions
Distributable earnings		—			(102,682	)		(13,047	)
Total distributions		—			(102,682	)		(13,047	)

From Capital Share Transactions
Proceeds from shares sold		5,737,252			8,134,860			4,404,820
Cost of shares redeemed		—			(3,323,267	)		(669,990	)
Transaction fees (Note 4)		897			2,042			765
Net increase in net assets resulting from capital share transactions		5,738,149			4,813,635			3,735,595

Total Increase in Net Assets		6,389,445			5,417,250			4,116,790

Net Assets
Beginning of period		—			—			—
End of period	$	6,389,445		$	5,417,250		$	4,116,790

Changes in Shares Outstanding
Shares outstanding, beginning of period		—			—			—
Shares sold		225,000			325,000			175,000
Shares redeemed		—			(125,000	)		(25,000	)
Shares outstanding, end of period		225,000			200,000			150,000

⁽¹⁾	The Fund commenced operations on April 1, 2021.

⁽²⁾	The Fund commenced operations on May 3, 2021.

⁽³⁾	The Fund commenced operations on June 1, 2021.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period

	Per Share Operating Performance (For a share outstanding throughout each period)
			Income from Investment Operations							Less Distributions Paid From:
	Net Asset Value, Beginning of Period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain on investments		Total from investment operations		Net realized gains			Total distributions paid
TrueShares Structured Outcome (July) ETF
For the year 01/01/2021 - 12/31/2021	$	29.20		(0.25	)		6.25		6.00		—			—
For the period 7/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.09	)		4.29		4.20		—			—
TrueShares Structured Outcome (August) ETF
For the year 01/01/2021 - 12/31/2021	$	27.89		(0.24	)		6.04		5.80		—			—
For the period 8/03/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.08	)		2.96		2.88		—			—
TrueShares Structured Outcome (September) ETF
For the year 01/01/2021 - 12/31/2021	$	26.63		(0.23	)		5.94		5.71		(0.02	)		(0.02	)
For the period 9/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.06	)		1.68		1.62		—			—
TrueShares Structured Outcome (October) ETF
For the year 01/01/2021 - 12/31/2021	$	27.21		(0.23	)		5.77		5.54		—			—
For the period 10/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.05	)		2.26		2.21		—			—
TrueShares Structured Outcome (November) ETF
For the year 01/01/2021 - 12/31/2021	$	27.62		(0.24	)		6.14		5.90		(0.17	)		(0.17	)
For the period 11/02/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.03	)		2.65		2.62		—			—
TrueShares Structured Outcome (December) ETF
For the year 01/01/2021 - 12/31/2021	$	25.44		(0.21	)		5.33		5.12		(0.14	)		(0.14	)
For the period 12/01/2020⁽⁷⁾ - 12/31/2020	$	25.00		(0.02	)		0.46		0.44		—			—

⁽¹⁾	Per share net investment income (loss) was calculated using average shares outstanding.

⁽²⁾	Annualized for periods less than one year.

⁽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⁾	Excludes in-kind transactions associated with creations and redemptions of the Fund.

⁽⁶⁾	The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period.

⁽⁷⁾	Commencement of operations.

⁽⁸⁾	Less than $0.005.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

Per Share Operating Performance (For a share outstanding throughout each period)					Ratios/Supplemental Data
Capital Share Transactions:													Ratios to Average Net Assets of: ⁽²⁾
Transaction fees (see Note 4)			Net Asset Value, End of Period		Total return, at NAV⁽³⁾⁽⁴⁾			Total return, at Market⁽³⁾⁽⁴⁾			Net assets, end of period (000’s)		Expenses			Net investment income (loss)			Portfolio turnover rate⁽⁴⁾⁽⁵⁾

	0.01		$	35.21		20.56	%		20.66	%	$	14,963		0.79	%		(0.76	)%		1307	%
	0.00	⁽⁸⁾	$	29.20		16.81	%		16.55	%	$	6,571		0.79	%		(0.68	)%		0	%

	0.01		$	33.70		20.83	%		20.74	%	$	18,536		0.79	%		(0.77	)%		1297	%
	0.01		$	27.89		11.57	%		11.31	%	$	9,065		0.79	%		(0.73	)%		0	%

	0.01		$	32.33		21.47	%		21.83	%	$	25,861		0.79	%		(0.76	)%		1301	%
	0.01		$	26.63		6.51	%		6.08	%	$	10,651		0.79	%		(0.73	)%		0	%

	0.00	⁽⁸⁾	$	32.75		20.37	%		20.49	%	$	8,189		0.79	%		(0.77	)%		1021	%
	0.00	⁽⁸⁾	$	27.21		8.85	%		8.57	%	$	4,082		0.79	%		(0.73	)%		0	%

	0.02		$	33.37		21.40	%		21.46	%	$	14,181		0.79	%		(0.76	)%		1302	%
	0.00	⁽⁸⁾	$	27.62		10.51	%⁽⁶⁾		10.35	%⁽⁶⁾	$	1,381		0.79	%		(0.75	)%		0	%

	0.01		$	30.43		20.17	%		20.15	%	$	6,086		0.79	%		(0.77	)%		1286	%
	0.00	⁽⁸⁾	$	25.44		1.75	%		1.72	%	$	5,723		0.79	%		(0.74	)%		0	%

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

	Per Share Operating Performance (For a share outstanding throughout each period)
			Income from Investment Operations							Less Distributions Paid From:
	Net Asset Value, Beginning of Period		Net investment income (loss)⁽¹⁾			Net realized and unrealized gain on investments		Total from investment operations		Net realized gains			Total distributions paid
TrueShares Structured Outcome (January) ETF
For the period 01/04/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.19	)		5.61		5.42		(1.32	)		(1.32	)
TrueShares Structured Outcome (February) ETF
For the period 02/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.20	)		5.35		5.15		—			—
TrueShares Structured Outcome (March) ETF
For the period 03/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.17	)		4.48		4.31		(0.70	)		(0.70	)
TrueShares Structured Outcome (April) ETF
For the period 04/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.16	)		3.56		3.40		—			—
TrueShares Structured Outcome (May) ETF
For the period 05/03/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.13	)		2.72		2.59		(0.51	)		(0.51	)
TrueShares Structured Outcome (June) ETF
For the period 06/01/2021⁽⁷⁾ - 12/31/2021	$	25.00		(0.12	)		2.66		2.54		(0.09	)		(0.09	)

⁽¹⁾	Per share net investment income (loss) was calculated using average shares outstanding.

⁽²⁾	Annualized for periods less than one year.

⁽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⁾	Excludes in-kind transactions associated with creations and redemptions of the Fund.

⁽⁶⁾	Less than $0.005.

⁽⁷⁾	Commencement of operations.

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Financial Highlights

For a Share Outstanding Throughout each Period (Continued)

Per Share Operating Performance (For a share outstanding throughout each period)					Ratios/Supplemental Data
Capital Share Transactions:													Ratios to Average Net Assets of: ⁽²⁾
Transaction fees (see Note 4)			Net Asset Value, End of Period		Total return, at NAV⁽³⁾⁽⁴⁾			Total return, at Market⁽³⁾⁽⁴⁾			Net assets, end of period (000’s)		Expenses			Net investment income (loss)			Portfolio turnover rate⁽⁴⁾⁽⁵⁾

	0.00	⁽⁶⁾	$	29.10		21.65	%		21.66	%	$	2,182		0.79	%		(0.77	)%		0	%

	0.00	⁽⁶⁾	$	30.15		20.58	%		20.56	%	$	3,768		0.79	%		(0.77	)%		0	%

	0.01		$	28.62		17.24	%		17.14	%	$	5,724		0.79	%		(0.76	)%		0	%

	0.00	⁽⁶⁾	$	28.40		13.59	%		13.49	%	$	6,389		0.79	%		(0.77	)%		0	%

	0.01		$	27.09		10.39	%		10.17	%	$	5,417		0.79	%		(0.77	)%		0	%

	0.00	⁽⁶⁾	$	27.45		10.13	%		9.96	%	$	4,117		0.79	%		(0.77	)%		0	%

The accompanying notes are an integral part of the financial statements.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021

1. ORGANIZATION

The TrueShares ETFs are a 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”). As of December 31, 2021, the TrueShares ETFs consist of sixteen active series identified below, twelve of which are covered in this report (each a “Fund,” and collectively, the “Funds” or “Structured Outcome ETFs”).

Fund Name	Ticker	Diversified/ Non-Diversified	Commencement of Operations
TrueShares Structured Outcome (July) ETF (“JULZ ETF”)	JULZ	Non-diversified	July 1, 2020
TrueShares Structured Outcome (August) ETF (“AUGZ ETF”)	AUGZ	Non-diversified	August 3, 2020
TrueShares Structured Outcome (September) ETF (“SEPZ ETF”)	SEPZ	Non-diversified	September 1, 2020
TrueShares Structured Outcome (October) ETF (“OCTZ ETF”)	OCTZ	Non-diversified	October 1, 2020
TrueShares Structured Outcome (November) ETF (“NOVZ ETF”)	NOVZ	Non-diversified	November 2, 2020
TrueShares Structured Outcome (December) ETF (“DECZ ETF”)	DECZ	Non-diversified	December 1, 2020
TrueShares Structured Outcome (January) ETF (“JANZ ETF”)	JANZ	Non-diversified	January 4, 2021
TrueShares Structured Outcome (February) ETF (“FEBZ ETF”)	FEBZ	Non-diversified	February 1, 2021
TrueShares Structured Outcome (March) ETF (“MARZ ETF”)	MARZ	Non-diversified	March 1, 2021
TrueShares Structured Outcome (April) ETF (“APRZ ETF”)	APRZ	Non-diversified	April 1, 2021
TrueShares Structured Outcome (May) ETF (“MAYZ ETF”)	MAYZ	Non-diversified	May 3, 2021
TrueShares Structured Outcome (June) ETF (“JUNZ ETF”)	JUNZ	Non-diversified	June 1, 2021

The operational TrueShares ETFs covered outside of this report consists of:

Fund Name	Ticker	Diversified/ Non-Diversified	Commencement of Operations
TrueShares Technology, AI & Deep Learning ETF (“AI ETF”)	LRNZ	Non-diversified	February 28, 2020
TrueShares ESG Active Opportunities ETF (“ESG ETF”)	ECOZ	Diversified	February 28, 2020
TrueShares Low Volatility Equity Income ETF (“DIVZ ETF”)	DIVZ	Non-diversified	January 27, 2021
RiverNorth Volition America Patriot ETF (“FLDZ ETF”)	FLDZ	Non-diversified	December 31, 2021

Each Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its total return investment objective by investing in options that reference the S&P 500^® Price Index, employing a “buffer protect” options strategies that uses such options to seek to achieve exposure to the S&P 500^® Price Index while mitigating the first 8% to 12% decline in the S&P 500^® Price Index over a 12-month period.

Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by TrueMark Investments, LLC (“TrueMark” or the “Adviser”), the Funds’ Investment Adviser.

2. SIGNIFICANT ACCOUNTING POLICIES

Each 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. Each 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.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

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 each Fund will be equal to a Fund’s total assets minus a 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, each 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.

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 Funds’ investments. These inputs are summarized in the following hierarchy:

●

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have 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 Funds’ 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).

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

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.

Debt securities, including short-term debt instruments having a maturity of less than 60 days, are generally valued using the last available bid prices or current market quotations provided by dealers or prices (including evaluated prices) supplied by approved independent third-party pricing services. Pricing services may use matrix pricing or valuation models that utilize certain inputs and assumptions to derive values. 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. 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.

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 or put option or receives when writing a call or put 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.

FLexible EXchange Options (“FLEX Options”) are valued at a model-based price provided by the exchange on which the option is traded. If the exchange on which the option is traded is unable to provide a price, FLEX Options are valued at a model-based price provided by an approved secondary pricing service.

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.

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 Funds’ investments at December 31, 2021, are as follows:

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (July) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	13,795,413	$	—	$	13,795,413
Purchased Call Options		—		1,386,999		—		1,386,999
Total Investments - Assets	$	—	$	15,182,412	$	—	$	15,182,412
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	249,401	$	—	$	249,401

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (August) ETF
Investments - Assets:
Money Market Funds	$	11,839	$	—	$	—	$	11,839
U.S. Treasury Bills		—		17,341,740		—		17,341,740
Purchased Call Options		—		1,590,677		—		1,590,677
Total Investments - Assets	$	11,839	$	18,932,417	$	—	$	18,944,256
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	396,934	$	—	$	396,934

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (September) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	24,766,275	$	—	$	24,766,275
Purchased Call Options		—		1,867,572		—		1,867,572
Total Investments - Assets	$	—	$	26,633,847	$	—	$	26,633,847
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	772,394	$	—	$	772,394

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (October) ETF
Investments - Assets:
Money Market Funds	$	57,731	$	—	$	—	$	57,731
U.S. Treasury Bills		—		7,559,130		—		7,559,130
Purchased Call Options		—		808,985		—		808,985
Total Investments - Assets	$	57,731	$	8,368,115	$	—	$	8,425,846
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	232,234	$	—	$	232,234

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (November) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	12,999,720	$	—	$	12,999,720
Purchased Call Options		—		960,398		—		960,398
Total Investments - Assets	$	—	$	13,960,118	$	—	$	13,960,118
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	574,611	$	—	$	574,611

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (December) ETF
Investments - Assets:
Money Market Funds	$	78,445	$	—	$	—	$	78,445
U.S. Treasury Bills		—		5,837,121		—		5,837,121
Purchased Call Options		—		517,783		—		517,783
Total Investments - Assets	$	78,445	$	6,354,904	$	—	$	6,433,349
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	247,828	$	—	$	247,828

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (January) ETF
Investments - Assets:
Exchange Traded Funds	$	1,947,336	$	—	$	—	$	1,947,336
Money Market Funds		3,941,995		—		—		3,941,995
Total Investments - Assets	$	5,889,331	$	—	$	—	$	5,889,331

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (February) ETF
Investments - Assets:
Money Market Funds	$	20,625	$	—	$	—	$	20,625
U.S. Treasury Bills		—		3,084,989		—		3,084,989
Purchased Call Options		—		666,628		—		666,628
Total Investments - Assets	$	20,625	$	3,751,617	$	—	$	3,772,242
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	1,513	$	—	$	1,513

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (March) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	4,924,839	$	—	$	4,924,839
Purchased Call Options		—		939,923		—		939,923
Total Investments - Assets	$	—	$	5,864,762	$	—	$	5,864,762
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	8,916	$	—	$	8,916

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (April) ETF
Investments - Assets:
Money Market Funds	$	92,514	$	—	$	—	$	92,514
U.S. Treasury Bills		—		5,590,616		—		5,590,616
Purchased Call Options		—		825,917		—		825,917
Total Investments - Assets	$	92,514	$	6,416,533	$	—	$	6,509,047
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	24,912	$	—	$	24,912

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (May) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	4,961,914	$	—	$	4,961,914
Purchased Call Options		—		601,699		—		601,699
Total Investments - Assets	$	—	$	5,563,613	$	—	$	5,563,613
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	43,647	$	—	$	43,647

	Level 1		Level 2		Level 3		Total
TrueShares Structured Outcome (June) ETF
Investments - Assets:
U.S. Treasury Bills	$	—	$	3,709,879	$	—	$	3,709,879
Purchased Call Options		—		452,137		—		452,137
Total Investments - Assets	$	—	$	4,162,016	$	—	$	4,162,016
Other Financial Instruments - Liabilities:
Written Put Options	$	—	$	46,122	$	—	$	46,122

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

Interest income is accrued daily.

Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions

The Funds are treated as separate entities for Federal income tax purposes. Each 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, each 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, each Fund will not be subject to Federal income tax.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

Distributions to shareholders are recorded on the ex-dividend date. The Structured Outcome ETFs generally pay 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 Funds 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 profits for tax purposes are reported as a tax return of capital.

Management evaluates the Funds’ 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 Funds’ 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. As of December 31, 2021, the Funds’ fiscal period end, the Funds had no material uncertain tax positions and did not have a liability for any unrecognized tax benefits. As of December 31, 2021, the Funds’ fiscal period end, the Funds had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Funds recognized no interest or penalties related to uncertain tax benefits in the fiscal period 2021. At December 31, 2021, the Funds’ fiscal period end, the tax periods from commencement of operations remained open to examination in the Funds’ major tax jurisdiction.

Indemnification

In the normal course of business, the Funds expect to enter into contracts that contain a variety of representations and warranties and which provide general indemnifications. The Funds’ maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Adviser expects the risk of loss to be remote.

Derivatives

The Structured Outcome ETFs employ a “buffer protect” options strategy that uses such options to seek to achieve exposure to the S&P 500^® Price Index while mitigating the first 8% to 12% decline in the S&P 500^® Price Index (the “Buffer”) over a 12-month period beginning on a specified day (each, a “Roll Date”). The period from one Roll Date to the next Roll Date is referred to as the “Investment Period,” and the first day of the Investment Period is referred to as the initial investment day. In the event an investor purchases shares after the date on which the options were entered into or sells shares prior to the expiration of the options, the Buffer that the Structured Outcome ETFs seeks to provide may not be available. The Structured Outcome ETFs are not designed to protect against declines of more than 8% to 12% in the level of the S&P 500^® Price Index, and there can be no guarantee that the Structured Outcome ETFs will be successful in implementing the buffer protect options strategy to avoid the first 8% to 12% decline.

In general, the Structured Outcome ETFs invest in exchange-traded FLEX Options only. FLEX Options are customized option contracts made available by the Cboe Options Exchange with the ability to customize key contract terms like exercise price, style and expiration date while achieving price discovery in competitive, transparent auctions markets and avoiding the counterparty exposure of over–the–counter options positions. Like traditional exchange–traded options, FLEX Options are guaranteed for settlement by the Options Clearing Corporation, a market clearinghouse that guarantees performance by counterparties to certain derivatives contracts. The FLEX Options in which the Structured Outcome ETFs invest generally have a term of up to one year and are all European style options (options that are exercisable only on the expiration date) based on the S&P 500^® Price Index or an ETF that tracks the S&P 500^® Price Index and have an expiration date that is the last day of the Investment Period.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

The Structured Outcome ETFs will purchase and sell call and put FLEX Options. In general, 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 Structured Outcome ETFs purchasing put and call options pay a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Structured Outcome ETFs, loss of the premium paid may be offset by an increase in the value of the Structured Outcome ETFs’ securities or by a decrease in the cost of acquisition of securities by the Structured Outcome ETFs. When the Structured Outcome ETFs write 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 Structured Outcome ETFs will realize as profit the premium received for such option. When a call option of which the Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs 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 Structured Outcome ETFs are the writer is exercised, the Structured Outcome ETFs will be required to purchase the underlying securities at a price in excess of the market value of such securities. The Structured Outcome ETFs maintain minimal counterparty risk through contracts bought or sold on an exchange. As of December 31, 2021, the Structured Outcome ETFs’ derivative instruments are not subject to a master netting arrangement.

Derivative Investments

The average monthly value outstanding of purchased and written options during the year or period ended December 31, 2021, were as follows:

	TrueShares Structured Outcome (July) ETF		TrueShares Structured Outcome (August) ETF		TrueShares Structured Outcome (September) ETF		TrueShares Structured Outcome (October) ETF		TrueShares Structured Outcome (November) ETF		TrueShares Structured Outcome (December) ETF
Purchased Options	$	1,161,748	$	1,336,268	$	1,303,071	$	658,318	$	542,337	$	433,927
Written Options		298,543		335,548		475,105		104,592		133,825		94,549

	TrueShares Structured Outcome (January) ETF		TrueShares Structured Outcome (February) ETF		TrueShares Structured Outcome (March) ETF		TrueShares Structured Outcome (April) ETF		TrueShares Structured Outcome (May) ETF		TrueShares Structured Outcome (June) ETF
Purchased Options	$	340,072	$	362,753	$	738,060	$	516,760	$	508,185	$	350,374
Written Options		59,303		37,299		137,265		114,139		188,048		125,126

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of December 31, 2021:

	Equity Risk Contracts	Asset Derivatives, Investments, at value		Liability Derivatives, Written options, at value
TrueShares Structured Outcome (July) ETF	Purchased Options	$	1,386,999	$	—
	Written Options		—		249,401
TrueShares Structured Outcome (August) ETF	Purchased Options		1,590,677		—
	Written Options		—		396,934
TrueShares Structured Outcome (September) ETF	Purchased Options		1,867,572		—
	Written Options		—		772,394
TrueShares Structured Outcome (October) ETF	Purchased Options		808,985		—
	Written Options		—		232,234
TrueShares Structured Outcome (November) ETF	Purchased Options		960,398		—
	Written Options		—		574,611
TrueShares Structured Outcome (December) ETF	Purchased Options		517,783		—
	Written Options		—		247,828
TrueShares Structured Outcome (February) ETF	Purchased Options		666,628		—
	Written Options		—		1,513
TrueShares Structured Outcome (March) ETF	Purchased Options		939,923		—
	Written Options		—		8,916
TrueShares Structured Outcome (April) ETF	Purchased Options		825,917		—
	Written Options		—		24,912
TrueShares Structured Outcome (May) ETF	Purchased Options		601,699		—
	Written Options		—		43,647
TrueShares Structured Outcome (June) ETF	Purchased Options		452,137		—
	Written Options		—		46,122

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the year or period ended December 31, 2021:

		Net Realized Gain (Loss)					Change in Unrealized Appreciation/Depreciation
		Purchased Options			Written Options		Purchased Options		Written Options
TrueShares Structured Outcome (July) ETF	Equity Risk Contracts	$	354,228		$	454,284	$	78,509	$	108,238
TrueShares Structured Outcome (August) ETF	Equity Risk Contracts		(628	)		542,099		67,512		129,879
TrueShares Structured Outcome (September) ETF	Equity Risk Contracts		67,261			759,384		222,236		82,543
TrueShares Structured Outcome (October) ETF	Equity Risk Contracts		585,222			259,835		132,511		41,439
TrueShares Structured Outcome (November) ETF	Equity Risk Contracts		—			126,135		63,833		67,840
TrueShares Structured Outcome (December) ETF	Equity Risk Contracts		86,545			211,005		3,388		66,808
TrueShares Structured Outcome (January) ETF	Equity Risk Contracts		112,522			185,982		—		—
TrueShares Structured Outcome (February) ETF	Equity Risk Contracts		—			—		332,920		135,397
TrueShares Structured Outcome (March) ETF	Equity Risk Contracts		154,139			136,153		619,884		308,952
TrueShares Structured Outcome (April) ETF	Equity Risk Contracts		—			—		429,295		252,705
TrueShares Structured Outcome (May) ETF	Equity Risk Contracts		115,747			62,481		354,866		207,382
TrueShares Structured Outcome (June) ETF	Equity Risk Contracts		21,757			12,865		249,673		128,811

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 Funds’ assets in accordance with its investment objectives, policies and limitations, and oversees the day-to-day operations of the Funds 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 Funds, and TrueMark, each 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 Structured Outcome ETF’s average daily net assets, respectively. TrueMark has agreed to pay all expenses of the Funds except the fee paid to TrueMark 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). TrueMark, in turn, compensates the Sub-Advisers from the management fee it receives.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

SpiderRock Advisors, LLC (the “Sub-Adviser”), an Illinois limited liability company serves as the sub-adviser to the Structured Outcome ETFs. Pursuant to a Sub-Advisory Agreement between the Adviser and the Sub-Adviser, the Sub-Adviser is responsible for trading portfolio securities on behalf of the Funds, 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 is calculated daily and paid monthly at an annual rate based on the Fund assets under management of the Structured Outcome ETFs which is 0.34% on average daily assets less than $150 million and 0.39% on average daily assets greater than $150 million.

Distribution Agreement and 12b-1 Plan

Foreside Fund Services, LLC (the “Distributor”) serves as each Fund’s distributor pursuant to a Distribution Agreement. The Distributor receives compensation from the Adviser for certain statutory underwriting services it provides to the Funds. 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 Funds. 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, each 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 Funds 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 each 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 Funds.

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 Funds pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays each Fund’s administrative, custody and transfer agency fees.

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

4. CREATION AND REDEMPTION TRANSACTIONS

Shares of the Structured Outcome ETFs are listed and traded on the Cboe BZX Exchange, Inc. Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units”. 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 each Fund will be equal to a Fund’s total assets minus a 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 four decimal places.

Creation Unit Transaction Fee

Authorized Participants will 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 or redeemed by an investor on the applicable business day. The Creation Unit Transaction Fee charged by each 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. Each

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

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 Funds are displayed in the Capital Share Transactions section on the Statements of Changes in Net Assets.

Only “Authorized Participants” may purchase or redeem shares directly from the Funds. 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 Funds. 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 Funds and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Funds will be issued to such authorized participant notwithstanding the fact that the Funds’ 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 Funds or their 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 Funds for losses, if any.

5. FEDERAL INCOME TAX

The tax character of distributions paid was as follows:

	Period Ended December 31, 2021				Period Ended December 31, 2020
	Ordinary Income⁽¹⁾		Long-Term Capital Gain		Ordinary Income⁽¹⁾		Long-Term Capital Gain
TrueShares Structured Outcome (July) ETF	$	—	$	—	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—		—		—
TrueShares Structured Outcome (September) ETF		12,776		—		—		—
TrueShares Structured Outcome (October) ETF		—		—		—		—
TrueShares Structured Outcome (November) ETF		69,396		—		—		—
TrueShares Structured Outcome (December) ETF		24,407		—		—		—
TrueShares Structured Outcome (January) ETF		98,735		—		—		—
TrueShares Structured Outcome (February) ETF		—		—		—		—
TrueShares Structured Outcome (March) ETF		139,114		—		—		—
TrueShares Structured Outcome (April) ETF		—		—		—		—
TrueShares Structured Outcome (May) ETF		102,682		—		—		—
TrueShares Structured Outcome (June) ETF		13,047		—		—		—

⁽¹⁾	Ordinary income includes short-term capital gains.

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

At December 31, 2021, the Funds’ fiscal period end, the components of distributable earnings (accumulated losses) and cost of investments on a tax basis, including the adjustments for financial reporting purposes as of the most recently completed Federal income tax reporting year, were as follows:

	TrueShares Structured Outcome (July) ETF			TrueShares Structured Outcome (August) ETF			TrueShares Structured Outcome (September) ETF			TrueShares Structured Outcome (October) ETF			TrueShares Structured Outcome (November) ETF			TrueShares Structured Outcome (December) ETF
Federal Tax Cost of Investments*	$	13,833,381		$	17,406,867		$	24,753,400		$	7,709,524		$	13,118,706		$	6,018,439
Gross Tax Unrealized Appreciation	$	1,109,553		$	1,140,463		$	1,108,571		$	484,508		$	266,814		$	170,942
Gross Tax Unrealized Depreciation		(9,923	)		(8	)		(518	)		(421	)		(13	)		(3,860	)
Net Tax Unrealized Appreciation (Depreciation)		1,099,630			1,140,455			1,108,053			484,087			266,801			167,082
Undistributed Ordinary Income		—			—			—			—			—			78,840
Other Accumulated Gain (Loss)		—			—			—			(74,732	)		—			—
Total Distributable Earnings / (Accumulated Losses)	$	1,099,630		$	1,140,455		$	1,108,053		$	409,355		$	266,801		$	245,922

	TrueShares Structured Outcome (January) ETF			TrueShares Structured Outcome (February) ETF		TrueShares Structured Outcome (March) ETF		TrueShares Structured Outcome (April) ETF			TrueShares Structured Outcome (May) ETF		TrueShares Structured Outcome (June) ETF
Federal Tax Cost of Investments*	$	5,899,251		$	3,302,390	$	4,926,949	$	5,802,319		$	4,957,589	$	3,737,364
Gross Tax Unrealized Appreciation	$	—		$	468,339	$	928,897	$	683,191		$	562,377	$	378,530
Gross Tax Unrealized Depreciation		(9,920	)		—		—		(1,375	)		—		—
Net Tax Unrealized Appreciation (Depreciation)		(9,920	)		468,339		928,897		681,816			562,377		378,530
Undistributed Ordinary Income		—			—		27,470		—			—		—
Other Accumulated Gain (Loss)		—			—		—		(127	)		—		(16	)
Total Distributable Earnings / (Accumulated Losses)	$	(9,920	)	$	468,339	$	956,367	$	681,689		$	562,377	$	378,514

*	Includes written option premiums.

The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales.

Under current tax law, net capital losses realized and specified ordinary losses after October 31 as well as certain specified ordinary losses incurred after October 31 may be deferred and treated as occurring on the first day of the following fiscal year. The Funds’ carryforward losses and post-October losses are determined only at the end of each fiscal year. During the fiscal

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

period ended December 31, 2021, AUGZ utilized $5,763 of capital carryforward losses. At December 31, 2021, the Funds had carryforward losses and post-October losses which will be carried forward indefinitely to offset future realized capital gains as follows:

	Indefinite Short- Term Capital Loss Carryover		Late-Year Losses		Post-October Losses
TrueShares Structured Outcome (July) ETF	$	—	$	—	$	—
TrueShares Structured Outcome (August) ETF		—		—		—
TrueShares Structured Outcome (September) ETF		—		—		—
TrueShares Structured Outcome (October) ETF		74,732		—		—
TrueShares Structured Outcome (November) ETF		—		—		—
TrueShares Structured Outcome (December) ETF		—		—		—
TrueShares Structured Outcome (January) ETF		—		—		—
TrueShares Structured Outcome (February) ETF		—		—		—
TrueShares Structured Outcome (March) ETF		—		—		—
TrueShares Structured Outcome (April) ETF		127		—		—
TrueShares Structured Outcome (May) ETF		—		—		—
TrueShares Structured Outcome (June) ETF		—		—		16

U.S. GAAP requires that certain components of net assets relating to permanent differences be reclassified between financial and tax reporting. These reclassifications have no effect on net assets or NAV per share. The permanent differences primarily relate to redemptions in-kind, write-off of net operating losses, and the use of tax equalization. For the fiscal period ended December 31, 2021, the following reclassifications were made for permanent tax differences on the Statements of Assets and Liabilities.

	Total Distributable Earnings (Accumulated Losses)			Paid-in Capital
TrueShares Structured Outcome (July) ETF	$	(1,789,063	)	$	1,789,063
TrueShares Structured Outcome (August) ETF		(2,057,707	)		2,057,707
TrueShares Structured Outcome (September) ETF		(2,346,596	)		2,346,596
TrueShares Structured Outcome (October) ETF		(800,974	)		800,974
TrueShares Structured Outcome (November) ETF		(617,571	)		617,571
TrueShares Structured Outcome (December) ETF		(495,685	)		495,685
TrueShares Structured Outcome (January) ETF		(488,130	)		488,130
TrueShares Structured Outcome (February) ETF		18,329			(18,329	)
TrueShares Structured Outcome (March) ETF		(79,691	)		79,691
TrueShares Structured Outcome (April) ETF		30,393			(30,393	)
TrueShares Structured Outcome (May) ETF		(41,238	)		41,238
TrueShares Structured Outcome (June) ETF		(2,681	)		2,681

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

6. INVESTMENT TRANSACTIONS

During the fiscal period ended December 31, 2021, the Funds realized amounts in net capital gains resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated losses) to paid in-capital. The amounts of realized gains and losses from in-kind redemptions included in realized gain/(loss) on investments in the Statements of Operations is as follows:

	Realized Gains		Realized Losses
TrueShares Structured Outcome (July) ETF	$	2,081,998	$	1,040,965
TrueShares Structured Outcome (August) ETF		1,690,668		—
TrueShares Structured Outcome (September) ETF		1,648,738		—
TrueShares Structured Outcome (October) ETF		1,680,399		840,199
TrueShares Structured Outcome (November) ETF		1,036,167		518,089
TrueShares Structured Outcome (December) ETF		433,113		—
TrueShares Structured Outcome (January) ETF		311,845		—
TrueShares Structured Outcome (February) ETF		—		—
TrueShares Structured Outcome (March) ETF		—		—
TrueShares Structured Outcome (April) ETF		—		—
TrueShares Structured Outcome (May) ETF		—		—
TrueShares Structured Outcome (June) ETF		—		—

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the period ended December 31, 2021, were as follows:

	Purchases		Sales		Creations In-Kind		Redemptions In-Kind
TrueShares Structured Outcome (July) ETF	$	8,639,489	$	5,035,654	$	—	$	5,008,302
TrueShares Structured Outcome (August) ETF		15,850,542		9,014,148		—		9,033,306
TrueShares Structured Outcome (September) ETF		17,950,249		10,074,856		—		10,069,788
TrueShares Structured Outcome (October) ETF		3,032,770		3,908,050		—		874,575
TrueShares Structured Outcome (November) ETF		4,892,312		2,852,171		—		2,847,350
TrueShares Structured Outcome (December) ETF		5,652,017		3,063,384		—		3,097,808
TrueShares Structured Outcome (January) ETF		3,470,196		—		—		1,947,336
TrueShares Structured Outcome (February) ETF		—		—		—		—
TrueShares Structured Outcome (March) ETF		—		—		—		—
TrueShares Structured Outcome (April) ETF		—		—		—		—
TrueShares Structured Outcome (May) ETF		—		—		—		—
TrueShares Structured Outcome (June) ETF		—		—		—		—

7. PRINCIPAL RISKS

As with all ETFs, shareholders of the Funds are subject to the risk that their investment could lose money. Each Fund is subject to the principal risks, any of which may adversely affect a 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

TrueShares Structured Outcome ETFs

Notes to Financial Statements

December 31, 2021 (Continued)

in which the Funds invest 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 Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

A complete description of principal risks is included in the prospectus under the heading “Principal Investment Risks.”

8. SUBSEQUENT EVENTS

Management has evaluated the Funds’ related events and transactions that occurred subsequent to December 31, 2021, through the date of issuance of the Funds’ financial statements. Management has determined that there were no subsequent events requiring recognition or disclosure in the financial statements.

TrueShares Structured Outcome ETFs

Report of Independent Registered Public Accounting Firm

To the Shareholders of TrueShares Structured Outcome ETFs and
Board of Trustees of Listed Funds Trust

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities, including the schedules of investments and written options, of TrueShares Structured Outcome (July) ETF, TrueShares Structured Outcome (August) ETF, TrueShares Structured Outcome (September) ETF, TrueShares Structured Outcome (October) ETF, TrueShares Structured Outcome (November) ETF, TrueShares Structured Outcome (December) ETF, TrueShares Structured Outcome (January) ETF, TrueShares Structured Outcome (February) ETF, TrueShares Structured Outcome (March) ETF, TrueShares Structured Outcome (April) ETF, TrueShares Structured Outcome (May) ETF, and TrueShares Structured Outcome (June) ETF, (“TrueShares Structured Outcome ETFs” or the “Funds”), each a series of Listed Funds Trust, as of December 31, 2021, the related statements of operations, the statements of changes in net assets, the related notes, and the financial highlights for each of the periods indicated below (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2021, the results of their operations, the changes in net assets, and the financial highlights for each of the periods indicated below in conformity with accounting principles generally accepted in the United States of America.

Fund Name	Statements of Operations	Statement(s) of Changes in Net Assets	Financial Highlights
TrueShares Structured Outcome (July) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from July 1, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (August) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from August 3, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (September) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from September 1, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (October) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from October 1, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (November) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from November 2, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (December) ETF	For the year ended December 31, 2021	For the year ended December 31, 2021 and for the period from December 1, 2020 (commencement of operations) through December 31, 2020
TrueShares Structured Outcome (January) ETF	For the period from January 4, 2021 (commencement of operations) through December 31, 2021
TrueShares Structured Outcome (February) ETF	For the period from February 1, 2021 (commencement of operations) through December 31, 2021
TrueShares Structured Outcome (March) ETF	For the period from March 1, 2021 (commencement of operations) through December 31, 2021
TrueShares Structured Outcome (April) ETF	For the period from April 1, 2021 (commencement of operations) through December 31, 2021
TrueShares Structured Outcome (May) ETF	For the period from May 3, 2021 (commencement of operations) through December 31, 2021
TrueShares Structured Outcome (June) ETF	For the period from June 1, 2021 (commencement of operations) through December 31, 2021

TrueShares Structured Outcome ETFs

Report of Independent Registered Public Accounting Firm

(Continued)

Basis for Opinion

These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. 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 Funds 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 audits 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 audits 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 December 31, 2021, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. Our audits 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 audits provide a reasonable basis for our opinion.

We have served as the Funds’ auditor since 2019.

COHEN & COMPANY, LTD.
Cleveland, Ohio
March 1, 2022

TrueShares Structured Outcome ETFs

Board of Trustees and Officers

December 31, 2021 (Unaudited)

Each Fund’s Statement of Additional Information includes additional information about the Funds’ Trustees and Officers, and is available, without charge upon request by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com.

Name and Year of Birth	Position Held with the Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past 5 Years
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).	45	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).	45	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).	45	Independent Trustee, Frontier Funds, Inc. (since 2020) (7 portfolios).

TrueShares Structured Outcome ETFs

Board of Trustees and Officers

December 31, 2021 (Unaudited) (Continued)

Name and Year of Birth	Position Held with the Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee	Other Directorships Held by Trustee During Past 5 Years
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).	45	None.

Name and Year of Birth	Position(s) Held with the Trust	Term of Office and Length of Time Served	Principal Occupation(s) During Past 5 Years
Officers
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 (Resigned, effective January 26, 2022)	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).

TrueShares Structured Outcome ETFs

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 Funds. Please read the prospectus carefully before investing. A copy of the Prospectus for the Funds may be obtained without charge by writing to the Funds, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-800-617-0004, or by visiting the Funds’ website at www.true-shares.com.

QUARTERLY PORTFOLIO HOLDING INFORMATION

Each 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 Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-800-617-0004. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov, or by visiting the Funds’ website at www.true-shares.com.

PROXY VOTING INFORMATION

Each 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 1-800-617-0004 and on the SEC’s website at www.sec.gov.

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available without charge, on the Funds’ website at www.true-shares.com.

TAX INFORMATION

The percent of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the fiscal period ended December 31, 2021, was as follows:

TrueShares Structured Outcome (July) ETF	0.00%
TrueShares Structured Outcome (August) ETF	0.00%
TrueShares Structured Outcome (September) ETF	100.00%
TrueShares Structured Outcome (October) ETF	0.00%
TrueShares Structured Outcome (November) ETF	100.00%
TrueShares Structured Outcome (December) ETF	100.00%
TrueShares Structured Outcome (January) ETF	100.00%
TrueShares Structured Outcome (February) ETF	0.00%
TrueShares Structured Outcome (March) ETF	100.00%
TrueShares Structured Outcome (April) ETF	0.00%
TrueShares Structured Outcome (May) ETF	100.00%
TrueShares Structured Outcome (June) ETF	100.00%

TrueShares Structured Outcome ETFs

(Unaudited)

We are committed to respecting the privacy of personal information you entrust to us in the course of doing business with us.

The Funds collect 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 Funds. 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 Funds 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:

TrueMark Investments, LLC
433 W. Van Buren St., 1150-E
Chicago, IL 60607

Investment Sub-Adviser:

SpiderRock Advisors, LLC
300 South Riverside Plaza, Suite 2340
Chicago, IL 60606

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 Funds.