EXCHANGE LISTED FUNDS TRUST

High Yield ETF (HYLD)

Annual Report

June 30, 2022

 

Exchange Listed Funds Trust

TABLE OF CONTENTS

 

June 30, 2022  

  

High Yield ETF

   

Management’s Discussion of Fund Performance

 

1

Schedule of Investments

 

5

Summary of Investments

 

13

Statement of Assets and Liabilities

 

15

Statement of Operations

 

16

Statements of Changes in Net Assets

 

17

Financial Highlights

 

18

Notes to Financial Statements

 

19

Report of Independent Registered Public Accounting Firm

 

29

Disclosure of Fund Expenses

 

30

Review of Liquidity Risk Management Program

 

31

Board Consideration of Approval of Advisory and Sub-Advisory Agreements

 

32

Other Information

 

35

Trustees

 

36

Officers

 

37

Before investing you should carefully consider the Fund’s investment objectives, risks, charges and expenses. This and other information is available in the Fund’s prospectus, a copy of which may be obtained by visiting the Fund’s website at www.hyldetf.com. Please read the Fund’s prospectus carefully before you invest.

There are risks involved with investing, including possible loss of principal, and there is no guarantee the Fund will achieve its investment objective. The Fund is classified as a diversified investment company under the Investment Company Act of 1940 (the “1940 Act”).

Individual shares of the Fund may be purchased or sold in the secondary market throughout the regular trading day on the NYSE Arca, Inc. (the “Exchange”) through a brokerage account. However, shares are not individually redeemable directly from the Fund. The Fund issues and redeems shares on a continuous basis, at net asset value (“NAV”), only in large blocks of shares (“Creation Units”).

Distributor: Foreside Fund Services, LLC

i

High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE

 

June 30, 2022  

(Unaudited)  

Dear HYLD Shareholders,

The High Yield ETF’s (“HYLD” or the “Fund”) return over the fiscal year ended June 30, 2022 was -10.63% based on net asset value (“NAV”) and -11.81% based on market price, versus a loss of -13.57% for the Bloomberg U.S. High Yield Very Liquid Index, and -12.81% for the Bloomberg U.S. Corporate High Yield Index, two of the Fund’s benchmark indexes. While HYLD has outperformed the indexes and many peer funds consistently during the recent market turmoil on a net asset value (NAV) basis, the Fund’s market price showed a large discrepancy from its NAV in the first half of 2022, caused by poor liquidity conditions. Over longer time periods, the Fund’s NAV has more closely tracked its market price. In general, when the Fund is experiencing significant trading volume, there are more sellers than buyers, especially during periods of market stress. In such a situation, discounts may arise. Since the beginning of May 2022, the Fund’s price discount to NAV steadily narrowed to -1.1% from -4.5%, as liquidity conditions stabilized. Investors that purchased shares of the Fund at the height of the NAV discount booked additional relative performance against the broader high-yield market.

During the fiscal year ended June 30, 2022, the Fund maintained a monthly dividend of $0.17 per share, or $2.04 per share annually in total. As of June 30, 2022, the Fund’s indicated dividend yield was 7.56% with a SEC yield of 8.2%, about 0.65% lower than the Bloomberg U.S. Corporate High Yield Index. A year ago, the Fund’s dividend yield was about 2.53% higher than the Bloomberg U.S. Corporate High Yield Index. The change reflects our active management efforts to navigate through the credit cycle, stay defensive in the near-term, and be well-positioned for growth once a recovery is at hand.

In our previous annual shareholder letter, we stated that while bond investors may continue to find opportunities in higher-yielding debt that hedge against rising inflation and interest rates, the market has moved past the macro driven recovery post-pandemic, and the possibilities of further upside for the broad market as a whole are limited. Early in 2022, an economist for Mackay Shields, a sub-adviser to the Fund, predicted that inflation would remain elevated, and that the U.S. economy was entering the late phase of the current cycle and was likely to slow into next year at a time when everyone is paying more for food and gasoline, higher rent, higher mortgage rates, higher car payments and higher credit card interest rates. Moreover, Mackay Shields’ economist predicted that the Federal Reserve would be forced to focus on inflation and was prepared to risk collateral damage to the broader economy to stabilize prices. Based on this macro assessment, we did some intensive research into the impact of Federal Reserve policy cycles on the yield curve and high yield bonds, much of this work is frequently referenced in our monthly commentary sent to shareholders. Our baseline thesis was that tighter financial conditions require higher compensation for investors to take on risk, and that investors would likely get rattled over the potential for aggressive Federal Reserve rate hikes to spur an economic downturn. This outlook would likely weigh heavily on the high yield bond market. As a result, the Fund has maintained a 5-10% cash position, and a shorter duration than the Bloomberg U.S. Corporate High Yield Index. The decision has thus far been fruitful, as the elevated cash position and the shorter duration contributed approximately 1.0% in excess return over the Bloomberg U.S. Corporate High Yield Index.

Another contributing factor to the Fund’s performance is from tactical allocation and risk management. We have dynamically re-positioned the portfolio to adapt to the changing credit environment. Throughout the year, we have adjusted the Fund’s credit exposure at each maturity bucket to capture the optimal risk-adjusted income: our average rating in the 1-3 year maturity bucket is three credit notches lower than the Bloomberg U.S. Corporate High Yield Index, while our exposure to the “belly” of the yield curve (3-10 year) is just one notch lower, and the long-term bonds (over 10 years) in the Fund are predominately high quality BB or above rated bonds. This positioning has added value. The spread between CCC and BB bonds has widened 400 basis points since mid-2021. As an example of the effect on performance, the Bloomberg Long BB High Yield Index outperformed the Bloomberg Long CCC High Yield Index by 8.3% over the period. At the front end of the curve (shorter maturities), benefiting from the lowest default rate in nearly 40 years, lower-rated bonds did not underperform higher-rated debt by any meaningful margin.

Are high yield bonds a buy now? With the 5% yield increase on the Bloomberg U.S. Corporate High Yield Index, we still hold the same view as we did at the start of the fiscal year: the recent selloff was in anticipation of future downward revisions to fundamentals, and one might even argue that, although high yield bond prices have declined, they may not have necessarily cheapened. Many investors expect the next contraction to be brief and shallow, followed by a robust recovery, because they

1

High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Continued)

 

June 30, 2022  

(Unaudited)  

are conditioned by recent history and assume the Federal Reserve will quickly pivot to a lower interest rate policy if the markets were to experience a more severe downturn. But a key lesson that the Federal Reserve took from high inflation in the past is that delaying action to bring down inflation leads to worse outcomes later. So, if a recession occurs with inflation still high, the Federal Reserve won’t use its tools to fully support growth. Thus, the next downturn may be brief, but without meaningful policy support, the recovery will likely be sluggish.

As we look forward, the high yield market faces accumulating fundamental headwinds due to a more hawkish Federal Reserve, more restrictive financing rates, a few idiosyncratic credit issues, and prospects for slower growth in 2023. More than ever, we will stay defensive and strive to remain nimble to create value for our shareholders.

We appreciate your continued support of HYLD.

Sincerely,

J. Garrett Stevens
Chief Executive Officer
Exchange Traded Concepts, Adviser to the Fund

2

High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Continued)

 

June 30, 2022  

(Unaudited)  

Growth of a $10,000 Investment

(at net asset value)

 

 

Inception Date

 

Average Annual Return
as of 6/30/2022

 

Expense Ratio*

of the Fund

 

One Year

 

Five Year

 

Ten Year

 

Gross

 

Net

High Yield ETF (Net Asset Value)

 

12/1/2010

 

-10.63%

 

1.31%

 

1.80%

 

1.37%

 

1.37%

High Yield ETF (Market Price)

     

-11.81%

 

1.45%

 

1.74%

       

Bloomberg U.S. Aggregate Bond Index(1)

     

-10.29%

 

0.88%

 

1.54%

       

Bloomberg U.S. Corporate High Yield Index

     

-12.81%

 

2.10%

 

4.47%

       

Bloomberg U.S. High Yield Very Liquid Index

     

-13.57%

 

1.55%

 

3.93%

       

*   Reflects the expense ratio (inclusive of 0.12% of acquired fund fees and expenses) as reported in the Prospectus dated November 1, 2021. Effective June 13, 2022, the Fund has an advisory fee waiver. See Note 3a.

(1)  Effective November 1, 2021, the Fund changed one of its benchmark indexes from the Bloomberg U.S. Aggregate Bond Index to the Bloomberg U.S. High Yield Very Liquid Index. The Adviser believes that this new index is more representative of the types of securities available for the Fund to invest in.

The performance data quoted herein represents past performance and the return and value of an investment in the Fund will fluctuate so that shares, when redeemed or sold in the market, may be worth more or less than their original cost. Returns shown do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption or sale of Fund shares. Past performance is no guarantee of future performance and should not be considered as a representation of the future results of the Fund. The Fund’s performance assumes the reinvestment of all dividends and all capital gains.

Current performance may be lower or higher than performance data quoted. For the Fund’s most recent month end performance, please visit www.hyldetf.com.

There are no assurances that the Fund will meet its stated objectives.

The Fund’s holdings and allocations are subject to change and should not be considered recommendations to buy individual securities. The information provided herein represents the opinion of Exchange Traded Concepts, LLC for the period stated and is subject to change at any time.

3

High Yield ETF

MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Concluded)

 

June 30, 2022  

(Unaudited)  

The Bloomberg U.S. Aggregate Bond Index is a broad based, market capitalization-weighted bond market index representing intermediate term investment grade bonds traded in the United States. One cannot invest directly in an index.

The Bloomberg U.S. Corporate High Yield Index is an unmanaged index considered representative of the universe of U.S. fixed rate, non-investment grade debt. One cannot invest directly in an index.

Bloomberg U.S. High Yield Very Liquid Index is a component of the Bloomberg U.S. Corporate High Yield Index that is designed to track a more liquid component of the USD-denominated, high yield, fixed-rate corporate bond market. One cannot invest directly in an index.

The Fund’s shares are listed on an exchange. The price of the Fund’s shares is based on market price, and because exchange-traded fund shares trade at market prices rather than net asset value, shares may trade at a price greater than net asset value (premium) or less than net asset value (discount).

Net asset value (“NAV”) — The dollar value of a single share, is calculated by taking the value of the underlying assets of the fund minus its liabilities, divided by the number of shares outstanding. NAV is calculated at the end of each business day.

4

High Yield ETF

SCHEDULE OF INVESTMENTS

 

June 30, 2022  

  

 

Principal
Amount

 

Value

CORPORATE BONDS — 55.8%

ADVERTISING — 0.4%

 

 

   

 

 

Lamar Media Corp.,
3.63%, 1/15/2031(a)

 

$

476,000

 

$

390,341

AEROSPACE/DEFENSE — 0.4%

 

 

   

 

 

TransDigm UK Holdings PLC,
6.88%, 5/15/2026(a)

 

 

250,000

 

 

233,468

Triumph Group, Inc.,
6.25%, 9/15/2024(a)(b)

 

 

148,000

 

 

131,878

   

 

   

 

365,346

AIRLINES — 1.6%

 

 

   

 

 

American Airlines Group, Inc.,
3.75%, 3/1/2025(b)

 

 

234,000

 

 

197,584

American Airlines, Inc.,
11.75%, 7/15/2025(b)

 

 

316,000

 

 

329,420

United Airlines Holdings, Inc.

 

 

   

 

 

5.00%, 2/1/2024

 

 

476,000

 

 

457,932

4.88%, 1/15/2025

 

 

490,000

 

 

456,048

   

 

   

 

1,440,984

AUTO MANUFACTURERS — 1.3%

 

 

   

 

 

Ford Motor Co.,
4.75%, 1/15/2043

 

 

624,000

 

 

446,271

JB Poindexter & Co., Inc.,
7.13%, 4/15/2026(a)(b)

 

 

285,000

 

 

273,975

PM General Purchaser LLC,
9.50%, 10/1/2028(a)(b)

 

 

497,000

 

 

402,205

   

 

   

 

1,122,451

AUTO PARTS & EQUIPMENT — 1.9%

 

 

 

Adient Global Holdings Ltd.,
4.88%, 8/15/2026(a)(b)

 

 

400,000

 

 

351,646

Dealer Tire LLC / DT Issuer LLC,
8.00%, 2/1/2028(a)(b)

 

 

276,000

 

 

238,798

Goodyear Tire & Rubber Co. (The),
4.88%, 3/15/2027(a)

 

 

133,000

 

 

119,068

Real Hero Merger Sub 2, Inc.,
6.25%, 2/1/2029(a)(b)

 

 

326,000

 

 

247,699

Tenneco, Inc.,
5.00%, 7/15/2026(a)

 

 

560,000

 

 

524,628

Wheel Pros, Inc.,
6.50%, 5/15/2029(a)(b)

 

 

276,000

 

 

195,420

   

 

   

 

1,677,259

BANKS — 0.2%

 

 

   

 

 

Freedom Mortgage Corp.,
7.63%, 5/1/2026(a)(b)

 

 

276,000

 

 

215,650

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

CHEMICALS — 2.2%

 

 

   

 

 

Cornerstone Chemical Co.,
6.75%, 8/15/2024(a)(b)

 

$

490,000

 

$

438,832

Olin Corp.,
5.63%, 8/1/2029(a)

 

 

539,000

 

 

481,203

Schweitzer-Mauduit
International, Inc.,
6.88%, 10/1/2026(a)(b)

 

 

159,000

 

 

141,721

SCIH Salt Holdings, Inc.,
6.63%, 5/1/2029(a)(b)

 

 

276,000

 

 

217,272

Unifrax Escrow Issuer Corp.,
5.25%, 9/30/2028(a)(b)

 

 

476,000

 

 

380,705

Venator Finance Sarl / Venator Materials LLC,
5.75%, 7/15/2025(a)(b)

 

 

358,000

 

 

287,183

   

 

   

 

1,946,916

COAL — 0.4%

 

 

   

 

 

Alliance Resource Operating Partners LP / Alliance Resource Finance Corp.,
7.50%, 5/1/2025(a)(b)

 

 

331,000

 

 

327,381

COMMERCIAL SERVICES — 3.4%

 

 

   

 

 

ADT Security Corp. (The),
4.88%, 7/15/2032(b)

 

 

358,000

 

 

286,217

CoreCivic, Inc.,
4.75%, 10/15/2027(a)

 

 

543,000

 

 

448,092

Korn Ferry,
4.63%, 12/15/2027(a)(b)

 

 

576,000

 

 

518,060

MPH Acquisition Holdings LLC,
5.75%, 11/1/2028(a)(b)

 

 

437,000

 

 

363,018

Nielsen Finance LLC / Nielsen Finance Co.,
4.75%, 7/15/2031(a)(b)

 

 

476,000

 

 

429,633

Sabre GLBL, Inc.,
7.38%, 9/1/2025(a)(b)

 

 

290,000

 

 

271,175

Sotheby’s,
7.38%, 10/15/2027(a)(b)

 

 

218,000

 

 

202,291

United Rentals North America, Inc.,
3.75%, 1/15/2032(a)

 

 

234,000

 

 

192,686

WW International, Inc.,
4.50%, 4/15/2029(a)(b)

 

 

407,000

 

 

271,669

   

 

   

 

2,982,841

5

High Yield ETF

SCHEDULE OF INVESTMENTS (Continued)

 

June 30, 2022  

  

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

COMPUTERS — 1.2%

 

 

   

 

 

Dell International LLC / EMC Corp.,
8.35%, 7/15/2046(a)

 

$

83,000

 

$

104,072

NCR Corp.,
5.25%, 10/1/2030(a)(b)

 

 

198,000

 

 

171,030

Vericast Corp.,
11.00%, 9/15/2026(a)(b)

 

 

803,724

 

 

774,589

   

 

   

 

1,049,691

COSMETICS/PERSONAL CARE — 0.5%

 

 

 

Coty, Inc.,
6.50%, 4/15/2026(a)(b)

 

 

476,000

 

 

440,191

DISTRIBUTION/WHOLESALE — 0.2%

 

 

 

Wesco Aircraft Holdings, Inc.,
9.00%, 11/15/2026(a)(b)

 

 

340,000

 

 

198,650

DIVERSIFIED FINANCIAL SERVICES — 2.0%

 

 

 

Coinbase Global, Inc.,
0.50%, 6/1/2026

 

 

468,000

 

 

264,171

Enova International, Inc.,
8.50%, 9/1/2024(a)(b)

 

 

502,000

 

 

467,630

PennyMac Financial Services, Inc.,
4.25%, 2/15/2029(a)(b)

 

 

476,000

 

 

350,738

PRA Group, Inc.,
7.38%, 9/1/2025(a)(b)

 

 

351,000

 

 

341,956

Voyager Aviation Holdings LLC,
8.50%, 5/9/2026(a)(b)

 

 

435,000

 

 

389,325

   

 

   

 

1,813,820

ELECTRIC — 1.5%

 

 

   

 

 

Calpine Corp.

 

 

   

 

 

4.50%, 2/15/2028(a)(b)

 

 

576,000

 

 

523,654

5.00%, 2/1/2031(a)(b)

 

 

476,000

 

 

386,205

NSG Holdings LLC / NSG
Holdings, Inc.,
7.75%, 12/15/2025(b)

 

 

134,805

 

 

132,837

PG&E Corp.,
5.00%, 7/1/2028(a)

 

 

371,000

 

 

319,171

   

 

   

 

1,361,867

ENGINEERING & CONSTRUCTION — 1.4%

 

 

 

Artera Services LLC,
9.03%, 12/4/2025(a)(b)

 

 

487,984

 

 

394,511

TopBuild Corp.,
4.13%, 2/15/2032(a)(b)

 

 

234,000

 

 

180,153

Tutor Perini Corp.,
6.88%, 5/1/2025(a)(b)

 

 

448,000

 

 

366,746

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

ENGINEERING & CONSTRUCTION (Continued)

Weekley Homes LLC / Weekley
Finance Corp.,
4.88%, 9/15/2028(a)(b)

 

$

371,000

 

$

293,550

   

 

   

 

1,234,960

ENTERTAINMENT — 0.9%

 

 

   

 

 

Affinity Gaming, 6.88%,
12/15/2027(a)(b)

 

 

476,000

 

 

400,445

Allen Media LLC / Allen
Media Co.-Issuer, Inc.,
10.50%, 2/15/2028(a)(b)

 

 

326,000

 

 

168,767

Speedway Motorsports LLC /
Speedway Funding II, Inc.,
4.88%, 11/1/2027(a)(b)

 

 

292,000

 

 

258,876

   

 

   

 

828,088

ENVIRONMENTAL CONTROL — 0.5%

 

 

 

Harsco Corp.,
5.75%, 7/31/2027(a)(b)

 

 

218,000

 

 

174,716

Madison IAQ LLC,
5.88%, 6/30/2029(a)(b)

 

 

326,000

 

 

246,963

   

 

   

 

421,679

FOOD — 1.2%

 

 

   

 

 

Chobani LLC / Chobani
Finance Corp., Inc.,
7.50%, 4/15/2025(a)(b)

 

 

184,000

 

 

169,299

Kraft Heinz Foods Co.,
6.50%, 2/9/2040

 

 

476,000

 

 

517,404

Land O’Lakes Capital Trust I,
7.45%, 3/15/2028(b)

 

 

391,000

 

 

406,386

   

 

   

 

1,093,089

HEALTHCARE-SERVICES — 0.9%

 

 

   

 

 

CHS/Community Health
Systems, Inc.,
8.00%, 12/15/2027(a)(b)

 

 

198,000

 

 

180,144

HCA, Inc.,
7.50%, 11/6/2033

 

 

184,000

 

 

209,015

LifePoint Health, Inc.,
5.38%, 1/15/2029(a)(b)

 

 

326,000

 

 

242,288

Molina Healthcare, Inc.,
3.88%, 5/15/2032(a)(b)

 

 

234,000

 

 

196,478

   

 

   

 

827,925

6

High Yield ETF

SCHEDULE OF INVESTMENTS (Continued)

 

June 30, 2022  

  

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

HOME BUILDERS — 1.1%

 

 

   

 

 

Beazer Homes USA, Inc.,
7.25%, 10/15/2029(a)

 

$

100,000

 

$

79,385

M/I Homes, Inc.,
4.95%, 2/1/2028(a)

 

 

292,000

 

 

248,613

MDC Holdings, Inc.,
6.00%, 1/15/2043(a)

 

 

364,000

 

 

300,129

New Home Co.,
Inc. (The), 7.25%, 10/15/2025(a)(b)

 

 

476,000

 

 

389,787

   

 

   

 

1,017,914

INSURANCE — 0.3%

 

 

   

 

 

Genworth Holdings, Inc.,
6.50%, 6/15/2034

 

 

325,000

 

 

258,187

INTERNET — 1.5%

 

 

   

 

 

Cars.com, Inc.,
6.38%, 11/1/2028(a)(b)

 

 

476,000

 

 

401,661

Netflix, Inc.,
4.88%, 6/15/2030(a)(b)

 

 

519,000

 

 

475,980

Northwest Fiber LLC / Northwest Fiber Finance Sub, Inc.,
4.75%, 4/30/2027(a)(b)

 

 

234,000

 

 

193,053

Photo Holdings Merger Sub, Inc.,
8.50%, 10/1/2026(a)(b)

 

 

359,000

 

 

271,587

   

 

   

 

1,342,281

INVESTMENT COMPANIES — 0.4%

 

 

   

 

 

Icahn Enterprises LP / Icahn Enterprises Finance Corp.,
5.25%, 5/15/2027(a)

 

 

349,000

 

 

309,910

IRON/STEEL — 0.7%

 

 

   

 

 

Cleveland-Cliffs, Inc.,
6.25%, 10/1/2040

 

 

753,000

 

 

632,520

LEISURE TIME — 1.3%

 

 

   

 

 

Carnival Corp.,
5.75%, 3/1/2027(a)(b)

 

 

610,000

 

 

445,093

NCL Corp. Ltd.,
3.63%, 12/15/2024(a)(b)

 

 

440,000

 

 

368,975

Royal Caribbean Cruises Ltd.,
3.70%, 3/15/2028(a)

 

 

524,000

 

 

333,610

   

 

   

 

1,147,678

LODGING — 0.5%

 

 

   

 

 

Arrow Bidco LLC,
9.50%, 3/15/2024(a)(b)

 

 

218,000

 

 

214,497

Hilton Domestic
Operating Co., Inc.,
3.63%, 2/15/2032(a)(b)

 

 

234,000

 

 

186,567

   

 

   

 

401,064

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

MEDIA — 2.5%

 

 

   

 

 

CCO Holdings LLC / CCO
Holdings Capital Corp.,
4.75%, 3/1/2030(a)(b)

 

$

576,000

 

$

494,865

CSC Holdings LLC,
5.75%, 1/15/2030(a)(b)

 

 

500,000

 

 

365,100

Diamond Sports Group LLC / Diamond Sports Finance Co.,
6.63%, 8/15/2027(a)(b)

 

 

752,000

 

 

94,000

DISH Network Corp.,
3.38%, 8/15/2026

 

 

248,000

 

 

168,144

iHeartCommunications, Inc.,
8.38%, 5/1/2027(a)

 

 

311,348

 

 

248,088

News Corp.,
5.13%, 2/15/2032(a)(b)

 

 

234,000

 

 

207,652

Sinclair Television Group, Inc.,
5.13%, 2/15/2027(a)(b)

 

 

248,000

 

 

208,718

TEGNA, Inc.,
5.00%, 9/15/2029(a)

 

 

336,000

 

 

316,626

Univision Communications, Inc.,
5.13%, 2/15/2025(a)(b)

 

 

157,000

 

 

148,051

   

 

   

 

2,251,244

METAL FABRICATE/HARDWARE — 0.3%

 

 

 

Park-Ohio Industries, Inc.,
6.63%, 4/15/2027(a)

 

 

391,000

 

 

309,383

MINING — 2.2%

 

 

   

 

 

Alcoa Nederland Holding BV,
6.13%, 5/15/2028(a)(b)

 

 

400,000

 

 

389,734

Century Aluminum Co.,
7.50%, 4/1/2028(a)(b)

 

 

560,000

 

 

505,103

Freeport-McMoRan, Inc.,
5.00%, 9/1/2027(a)

 

 

159,000

 

 

158,024

Joseph T Ryerson & Son, Inc.,
8.50%, 8/1/2028(a)(b)

 

 

27,000

 

 

27,894

JW Aluminum Continuous Cast Co.,
10.25%, 6/1/2026(a)(b)

 

 

455,000

 

 

468,577

Novelis Corp.,
4.75%, 1/30/2030(a)(b)

 

 

476,000

 

 

396,551

   

 

   

 

1,945,883

MISCELLANEOUS MANUFACTURING — 0.9%

 

 

 

Anagram International, Inc. / Anagram Holdings LLC,
10.00%, 8/15/2026(a)(b)

 

 

92,789

 

 

95,923

FXI Holdings, Inc.,
7.88%, 11/1/2024(a)(b)

 

 

311,000

 

 

270,230

7

High Yield ETF

SCHEDULE OF INVESTMENTS (Continued)

 

June 30, 2022  

  

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

MISCELLANEOUS MANUFACTURING (Continued)

LSB Industries, Inc.,
6.25%, 10/15/2028(a)(b)

 

$

476,000

 

$

420,765

   

 

   

 

786,918

OIL & GAS — 6.4%

 

 

   

 

 

Comstock Resources, Inc.,
6.75%, 3/1/2029(a)(b)

 

 

476,000

 

 

427,241

Encino Acquisition Partners Holdings LLC,
8.50%, 5/1/2028(a)(b)

 

 

560,000

 

 

529,395

Hilcorp Energy I LP / Hilcorp Finance Co.,
5.75%, 2/1/2029(a)(b)

 

 

371,000

 

 

326,439

International Petroleum Corp./Sweden,
7.25%, 2/1/2027(a)(b)

 

 

188,472

 

 

180,933

Laredo Petroleum, Inc.,
7.75%, 7/31/2029(a)(b)

 

 

371,000

 

 

338,014

Marathon Oil Corp.,
6.60%, 10/1/2037

 

 

261,000

 

 

277,472

Marathon Petroleum Corp.,
5.00%, 9/15/2054(a)

 

 

476,000

 

 

431,772

Mesquite Energy, Inc.,
7.25%, 2/15/2023(a)(b)(c)(d)(e)

 

 

1,902,000

 

 

12,363

Moss Creek Resources
Holdings, Inc.,
7.50%, 1/15/2026(a)(b)

 

 

560,000

 

 

498,050

Occidental Petroleum Corp.

 

 

   

 

 

7.15%, 5/15/2028

 

 

351,000

 

 

367,169

7.95%, 6/15/2039

 

 

476,000

 

 

538,820

Par Petroleum LLC / Par
Petroleum Finance Corp.,
7.75%, 12/15/2025(a)(b)

 

 

533,000

 

 

501,183

PBF Holding Co. LLC / PBF
Finance Corp.

 

 

   

 

 

9.25%, 5/15/2025(a)(b)

 

 

351,000

 

 

367,453

7.25%, 6/15/2025(a)

 

 

234,000

 

 

219,139

Southwestern Energy Co.,
8.38%, 9/15/2028(a)

 

 

351,000

 

 

370,479

Valaris Ltd.,
8.25%, 4/30/2028

 

 

326,000

 

 

316,702

   

 

   

 

5,702,624

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

OIL & GAS SERVICES — 1.9%

 

 

   

 

 

Basic Energy Services, Inc.,
10.75%, 10/15/2023(a)(b)(d)

 

$

1,978,000

 

$

262,085

Bristow Group, Inc.,
6.88%, 3/1/2028(a)(b)

 

 

560,000

 

 

492,815

Oil States International, Inc.,
1.50%, 2/15/2023

 

 

560,000

 

 

544,847

Weatherford International Ltd.

 

 

   

 

 

11.00%, 12/1/2024(a)(b)

 

 

57,000

 

 

57,509

8.63%, 4/30/2030(a)(b)

 

 

365,000

 

 

303,584

   

 

   

 

1,660,840

PACKAGING & CONTAINERS — 0.6%

 

 

 

Graham Packaging Co., Inc.,
7.13%, 8/15/2028(a)(b)

 

 

148,000

 

 

118,973

Mauser Packaging Solutions Holding Co.,
7.25%, 4/15/2025(a)(b)

 

 

440,000

 

 

384,769

   

 

   

 

503,742

PHARMACEUTICALS — 0.3%

 

 

   

 

 

Bausch Health Cos., Inc.,
6.25%, 2/15/2029(a)(b)

 

 

435,000

 

 

234,508

Endo Dac / Endo Finance LLC / Endo Finco, Inc.,
6.00%, 6/30/2028(a)(b)

 

 

468,000

 

 

37,440

   

 

   

 

271,948

PIPELINES — 6.2%

 

 

   

 

 

Antero Midstream Partners LP / Antero Midstream Finance
Corp.,
5.75%, 3/1/2027(a)(b)

 

 

218,000

 

 

203,106

Cheniere Energy Partners LP, 3.25%, 1/31/2032(a)(b)

 

 

234,000

 

 

184,791

EQM Midstream Partners LP, 6.50%, 7/1/2027(a)(b)

 

 

351,000

 

 

326,964

Genesis Energy LP / Genesis
Energy Finance Corp.,
8.00%, 1/15/2027(a)

 

 

560,000

 

 

497,168

Harvest Midstream I LP,
7.50%, 9/1/2028(a)(b)

 

 

351,000

 

 

330,330

Holly Energy Partners LP /
Holly Energy Finance Corp.,
5.00%, 2/1/2028(a)(b)

 

 

407,000

 

 

349,295

ITT Holdings LLC,
6.50%, 8/1/2029(a)(b)

 

 

407,000

 

 

326,738

8

High Yield ETF

SCHEDULE OF INVESTMENTS (Continued)

 

June 30, 2022  

  

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

PIPELINES (Continued)

New Fortress Energy, Inc.,
6.50%, 9/30/2026(a)(b)

 

$

457,000

 

$

414,517

NGL Energy Partners LP / NGL
Energy Finance Corp.,
7.50%, 11/1/2023(a)

 

 

448,000

 

 

406,067

Oasis Midstream Partners LP /
OMP Finance Corp.,
8.00%, 4/1/2029(a)(b)

 

 

560,000

 

 

521,153

Plains All American Pipeline LP,
Series B, 6.13%, (3-Month US LIBOR + 4.11%)(a)(f)(g)

 

 

450,000

 

 

324,000

Rockies Express Pipeline LLC,
4.80%, 5/15/2030(a)(b)

 

 

371,000

 

 

309,497

Summit Midstream Holdings LLC /
Summit Midstream
Finance Corp.,
8.50%, 10/15/2026(a)(b)

 

 

351,000

 

 

315,844

Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.,
5.50%, 1/15/2028(a)(b)

 

 

407,000

 

 

347,134

Western Midstream Operating LP,
5.75%, 2/1/2050(a)

 

 

839,000

 

 

676,911

   

 

   

 

5,533,515

REAL ESTATE — 0.4%

 

 

   

 

 

Howard Hughes Corp. (The),
4.13%, 2/1/2029(a)(b)

 

 

407,000

 

 

314,634

REITS — 1.7%

 

 

   

 

 

Granite Point Mortgage Trust, Inc.,
6.38%, 10/1/2023

 

 

650,000

 

 

634,595

Iron Mountain, Inc.,
5.25%, 3/15/2028(a)(b)

 

 

331,000

 

 

297,085

Service Properties Trust

 

 

   

 

 

4.35%, 10/1/2024(a)

 

 

198,000

 

 

160,866

4.95%, 2/15/2027(a)

 

 

574,000

 

 

423,468

   

 

   

 

1,516,014

RETAIL — 1.4%

 

 

   

 

 

Party City Holdings, Inc.,
5.75%, (6-Month US LIBOR + 5.00%), 7/15/2025(a)(b)(f)

 

 

155,327

 

 

106,585

Patrick Industries, Inc.,
7.50%, 10/15/2027(a)(b)

 

 

387,000

 

 

358,699

 

Principal
Amount

 

Value

CORPORATE BONDS (Continued)

RETAIL (Continued)

Staples, Inc.,
10.75%, 4/15/2027(a)(b)

 

$

492,000