# EDGAR Filing Document

**Accession Number:** 0001537140
**File Stem:** 0001580642-25-005864
**Filing Date:** 2025-9
**Character Count:** 175266
**Document Hash:** 6c5b7daee39fb79f64ae0a6dbe8ba348
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001580642-25-005864.hdr.sgml**: 20250908

**ACCESSION NUMBER**: 0001580642-25-005864

**CONFORMED SUBMISSION TYPE**: N-CSR

**PUBLIC DOCUMENT COUNT**: 36

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250908

**DATE AS OF CHANGE**: 20250905

**EFFECTIVENESS DATE**: 20250908

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NORTHERN LIGHTS FUND TRUST III
- **CENTRAL INDEX KEY:** 0001537140

**ORGANIZATION NAME:**
- **EIN:** 000000000
- **STATE OF INCORPORATION:** DE

**FILING VALUES:**
- **FORM TYPE:** N-CSR
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22655
- **FILM NUMBER:** 251297663

**BUSINESS ADDRESS:**
- **STREET 1:** 225 PICTORIA DRIVE
- **STREET 2:** SUITE 450
- **CITY:** CINCINNATI
- **STATE:** OH
- **ZIP:** 45246
- **BUSINESS PHONE:** 631-470-2621

**MAIL ADDRESS:**
- **STREET 1:** 17605 WRIGHT STREET
- **CITY:** OMAHA
- **STATE:** NE
- **ZIP:** 68130

## Series and Classes Contracts Data

### Swan Defined Risk Fund (Series ID: S000037505)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000115777 | Swan Defined Risk Fund Class A Shares | SDRAX           |
| C000115778 | Swan Defined Risk Fund Class C Shares | SDRCX           |
| C000115779 | Swan Defined Risk Fund Class I Shares | SDRIX           |

### Swan Defined Risk Growth Fund (Series ID: S000063531)

| Class ID   | Class Name                                   | Ticker Symbol   |
|:---|:---|:---|
| C000205842 | Swan Defined Risk Growth Fund Class A Shares | SDAAX           |
| C000205843 | Swan Defined Risk Growth Fund Class C Shares | SDACX           |
| C000205844 | Swan Defined Risk Growth Fund Class I Shares | SDAIX           |

?xml version='1.0' encoding='ASCII'?

**united states securities and exchange commission washington, d.c. 20549**

**form n-csr certified shareholder report of registered management investment companies**

Investment Company Act file number <u>811-22655</u>

<u>Northern Lights Fund Trust III</u> <br> (Exact name of registrant as specified in charter)

<u>225 Pictoria Drive, Suite 450, Cincinnati, OH</u> <u>45246</u> <br> (Address of principal executive offices) (Zip code)

<u>The Corporation Trust Company</u> <br> <u>1209 Orange Street, Wilmington, DE 19801</u> <br> (Name and address of agent for service)

Registrant's telephone number, including area code: <u>631-470-2600</u>

Date of fiscal year end: <u>6/30</u>

Date of reporting period: <u>6/30/25</u>

**Item 1. Reports to Stockholders.** 

(a) #### Swan Defined Risk Fund

#### Class A (SDRAX)

#### Annual Shareholder Report - June 30, 2025

# Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class A | $151 | 1.45% |

---

# How did the Fund perform during the reporting period?
Overview: From a "big picture" perspective, the S&P 500 has done well over the year ended June 30th, 2025. The S&P 500 closed the second quarter at an all-time high of 6205, up 15.2% over the last year. However, these aggregate numbers mask the large amount of volatility. The S&P 500 endured a peak-to-trough loss of -18.8% between February 20th and April 8th, bottoming out below 5000 and narrowly missing a bear market. Then, the market went on a torrid rally, up almost 25% off its low. Over this same period, Class A shares had a return of 7.43%. Relative to the S&P 500's 15.2%, this translates to a capture ratio of 48%, within expectations for a hedged equity fund during a rising market.

Core Equity: the core equity element typically makes up 90% of the Fund's holdings and is invested in ETFs that track the S&P 500 or sectors of the S&P 500. In aggregate, this section of the Fund had a one-year return of 13.7%, which is right in line with expectations.

Hedge: the Fund hedges its exposure to the market via the use of put options. As put options are inversely correlated with the market, it is expected that the hedge section would have negative returns if the market was setting all-time highs. Over the reporting period this section of the Fund has had a return of -2.7%. The value of the put options was proven during the "tariff tantrum." The Fund, as part of its regular process, re-hedged the portfolio in December 2024 and set the strike prices for the put options at 6100. As the S&P 500 plunged below 5000 in early April, these options helped offset losses and were responsible for the Fund's downside capture of roughly 50%. The Fund's peak-to-trough loss was -9.3% vs. the S&P 500's -18.8% maximum drawdown. However, as markets rallied and set all-time highs the put options reversed course and declined in value. With the market closing at 6205 on June 30th, the put options are still in a good position to hedge the portfolio should the market sell off again.

Additional Trades: the Fund also engages in shorter-term, premium collection trades with the goal of offsetting the carrying costs of the hedges. These trades tend to perform well during less volatile markets. April 2025 was anything but docile, as the VIX spiked to its highest levels since the Covid-19 panic in early 2020. This segment of the fund had a -1.6% return.

# How has the Fund performed over the last ten years?

# Total Return Based on $10,000 Investment
![Growth of 10K Chart](ia1b52b9a4ec30ae8099d5690.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Fund** | **Swan Defined Risk Fund - with load** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend** | **Bloomberg U.S. Aggregate Bond Index** | **S&P 500<sup>®</sup> Index** |
| **06/30/15** | $10000 | $9449 | $10000 | $10000 | $10000 |
| **06/30/16** | $9930 | $9383 | $10504 | $10600 | $10399 |
| **06/30/17** | $10499 | $9921 | $11589 | $10567 | $12260 |
| **06/30/18** | $10962 | $10359 | $12555 | $10525 | $14023 |
| **06/30/19** | $11145 | $10532 | $13794 | $11353 | $15483 |
| **06/30/20** | $10990 | $10385 | $14977 | $12345 | $16645 |
| **06/30/21** | $13127 | $12404 | $18424 | $12304 | $23436 |
| **06/30/22** | $12116 | $11448 | $16537 | $11038 | $20948 |
| **06/30/23** | $13144 | $12420 | $18396 | $10934 | $25053 |
| **06/30/24** | $14622 | $13817 | $21233 | $11222 | $31204 |
| **06/30/25** | $15708 | $14843 | $23701 | $11904 | $35936 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **10 Years** |
| Swan Defined Risk Fund | 7.43% | 7.40% | 4.62% |
| With Load | 1.54% | 6.19% | 4.03% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend | 11.62% | 9.62% | 9.01% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.76% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 13.65% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

# **Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $643037067 |
| Number of Portfolio Holdings | 25 |
| Advisory Fee | $6817987 |
| Portfolio Turnover | 12% |

---

# **Asset Weighting (% of total investments)**![Group By Asset Type Chart](i29396df1d2b055825bbf45ed.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 92.9% |
| Money Market Funds | 0.6% |
| Purchased Options | 6.5% |

---

# What did the Fund invest in?

# **Asset Weighting (% of net assets)**![Group By Sector Chart](i8a532175634ce2cadac79351.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 0.6% |
| Index Option | 4.8% |
| Equity | 95.0% |

---

# Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 63.0% |
| Technology Select Sector SPDR Fund | 10.7% |
| S&P 500 Index, 12/18/26 6100.0 Put | 5.6% |
| Financial Select Sector SPDR Fund | 4.5% |
| Consumer Discretionary Select Sector SPDR Fund | 3.3% |
| Communication Services Select Sector SPDR Fund | 3.1% |
| Health Care Select Sector SPDR Fund | 3.0% |
| Industrial Select Sector SPDR Fund | 2.8% |
| Consumer Staples Select Sector SPDR Fund | 1.8% |
| Energy Select Sector SPDR Fund | 1.0% |

---

# Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

#### Swan Defined Risk Fund - Class A (SDRAX)

#### Annual Shareholder Report - June 30, 2025

# Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDRAX

#### Swan Defined Risk Fund

#### Class C (SDRCX)

#### Annual Shareholder Report - June 30, 2025

# Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class C | $228 | 2.20% |

---

# How did the Fund perform during the reporting period?
Overview: From a "big picture" perspective, the S&P 500 has done well over the year ended June 30th, 2025. The S&P 500 closed the second quarter at an all-time high of 6205, up 15.2% over the last year. However, these aggregate numbers mask the large amount of volatility. The S&P 500 endured a peak-to-trough loss of -18.8% between February 20th and April 8th, bottoming out below 5000 and narrowly missing a bear market. Then, the market went on a torrid rally, up almost 25% off its low. Over this same period, Class C shares had a return of 6.66%. Relative to the S&P 500's 15.2%, this translates to a capture ratio of 43%, within expectations for a hedged equity fund during a rising market.

Core Equity: the core equity element typically makes up 90% of the Fund's holdings and is invested in ETFs that track the S&P 500 or sectors of the S&P 500. In aggregate, this section of the Fund had a one-year return of 13.7%, which is right in line with expectations.

Hedge: the Fund hedges its exposure to the market via the use of put options. As put options are inversely correlated with the market, it is expected that the hedge section would have negative returns if the market was setting all-time highs. Over the reporting period this section of the Fund has had a return of -2.7%. The value of the put options was proven during the "tariff tantrum." The Fund, as part of its regular process, re-hedged the portfolio in December 2024 and set the strike prices for the put options at 6100. As the S&P 500 plunged below 5000 in early April, these options helped offset losses and were responsible for the Fund's downside capture of roughly 50%. The Fund's peak-to-trough loss was -9.3% vs. the S&P 500's -18.8% maximum drawdown. However, as markets rallied and set all-time highs the put options reversed course and declined in value. With the market closing at 6205 on June 30th, the put options are still in a good position to hedge the portfolio should the market sell off again.

Additional Trades: the Fund also engages in shorter-term, premium collection trades with the goal of offsetting the carrying costs of the hedges. These trades tend to perform well during less volatile markets. April 2025 was anything but docile, as the VIX spiked to its highest levels since the Covid-19 panic in early 2020. This segment of the fund had a -1.6% return.

# How has the Fund performed over the last ten years?

# Total Return Based on $10,000 Investment
![Growth of 10K Chart](i26edfca74fe7771b0b60285c.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Fund** | **S&P 500<sup>®</sup> Index** | **Bloomberg U.S. Aggregate Bond Index** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend** |
| **Jun-2015** | $10000 | $10000 | $10000 | $10000 |
| **Jun-2016** | $9863 | $10399 | $10600 | $10504 |
| **Jun-2017** | $10349 | $12260 | $10567 | $11589 |
| **Jun-2018** | $10727 | $14023 | $10525 | $12555 |
| **Jun-2019** | $10831 | $15483 | $11353 | $13794 |
| **Jun-2020** | $10595 | $16645 | $12345 | $14977 |
| **Jun-2021** | $12561 | $23436 | $12304 | $18424 |
| **Jun-2022** | $11509 | $20948 | $11038 | $16537 |
| **Jun-2023** | $12389 | $25053 | $10934 | $18396 |
| **Jun-2024** | $13678 | $31204 | $11222 | $21233 |
| **Jun-2025** | $14590 | $35936 | $11904 | $23701 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **10 Years** |
| Swan Defined Risk Fund | 6.66% | 6.61% | 3.85% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend | 11.62% | 9.62% | 9.01% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.76% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 13.65% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

# **Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $643037067 |
| Number of Portfolio Holdings | 25 |
| Advisory Fee | $6817987 |
| Portfolio Turnover | 12% |

---

# **Asset Weighting (% of total investments)**![Group By Asset Type Chart](i9d1f628c96cc3f702f168f7a.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 92.9% |
| Money Market Funds | 0.6% |
| Purchased Options | 6.5% |

---

# What did the Fund invest in?

# **Asset Weighting (% of net assets)**![Group By Sector Chart](i6e279fefbd2461dccdc83be1.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 0.6% |
| Index Option | 4.8% |
| Equity | 95.0% |

---

# Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 63.0% |
| Technology Select Sector SPDR Fund | 10.7% |
| S&P 500 Index, 12/18/26 6100.0 Put | 5.6% |
| Financial Select Sector SPDR Fund | 4.5% |
| Consumer Discretionary Select Sector SPDR Fund | 3.3% |
| Communication Services Select Sector SPDR Fund | 3.1% |
| Health Care Select Sector SPDR Fund | 3.0% |
| Industrial Select Sector SPDR Fund | 2.8% |
| Consumer Staples Select Sector SPDR Fund | 1.8% |
| Energy Select Sector SPDR Fund | 1.0% |

---

# Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

#### Swan Defined Risk Fund - Class C (SDRCX)

#### Annual Shareholder Report - June 30, 2025

# Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDRCX

#### Swan Defined Risk Fund

#### Class I (SDRIX)

#### Annual Shareholder Report - June 30, 2025

# Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

# What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class I | $124 | 1.20% |

---

# How did the Fund perform during the reporting period?
Overview: From a "big picture" perspective, the S&P 500 has done well over the year ended June 30th, 2025. The S&P 500 closed the second quarter at an all-time high of 6205, up 15.2% over the last year. However, these aggregate numbers mask the large amount of volatility. The S&P 500 endured a peak-to-trough loss of -18.8% between February 20th and April 8th, bottoming out below 5000 and narrowly missing a bear market. Then, the market went on a torrid rally, up almost 25% off its low. Over this same period, Class I shares had a return of 7.74%. Relative to the S&P 500's 15.2%, this translates to a capture ratio of 51%, within expectations for a hedged equity fund during a rising market.

Core Equity: the core equity element typically makes up 90% of the Fund's holdings and is invested in ETFs that track the S&P 500 or sectors of the S&P 500. In aggregate, this section of the Fund had a one-year return of 13.7%, which is right in line with expectations.

Hedge: the Fund hedges its exposure to the market via the use of put options. As put options are inversely correlated with the market, it is expected that the hedge section would have negative returns if the market was setting all-time highs. Over the reporting period this section of the Fund has had a return of -2.7%. The value of the put options was proven during the "tariff tantrum." The Fund, as part of its regular process, re-hedged the portfolio in December 2024 and set the strike prices for the put options at 6100. As the S&P 500 plunged below 5000 in early April, these options helped offset losses and were responsible for the Fund's downside capture of roughly 50%. The Fund's peak-to-trough loss was -9.3% vs. the S&P 500's -18.8% maximum drawdown. However, as markets rallied and set all-time highs the put options reversed course and declined in value. With the market closing at 6205 on June 30th, the put options are still in a good position to hedge the portfolio should the market sell off again.

Additional Trades: the Fund also engages in shorter-term, premium collection trades with the goal of offsetting the carrying costs of the hedges. These trades tend to perform well during less volatile markets. April 2025 was anything but docile, as the VIX spiked to its highest levels since the Covid-19 panic in early 2020. This segment of the fund had a -1.6% return.

# How has the Fund performed over the last ten years?

# Total Return Based on $100,000 Investment
![Growth of 10K Chart](i2d9df728859ca33562f4dc3d.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Fund** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend** | **Bloomberg U.S. Aggregate Bond Index** | **S&P 500<sup>®</sup> Index** |
| **Jun-2015** | $100000 | $100000 | $100000 | $100000 |
| **Jun-2016** | $99603 | $105038 | $106001 | $103993 |
| **Jun-2017** | $105573 | $115886 | $105668 | $122603 |
| **Jun-2018** | $110456 | $125551 | $105248 | $140226 |
| **Jun-2019** | $112622 | $137938 | $113530 | $154834 |
| **Jun-2020** | $111323 | $149770 | $123452 | $166455 |
| **Jun-2021** | $133313 | $184241 | $123041 | $234359 |
| **Jun-2022** | $123264 | $165372 | $110377 | $209480 |
| **Jun-2023** | $133936 | $183962 | $109342 | $250525 |
| **Jun-2024** | $149384 | $212334 | $112219 | $312044 |
| **Jun-2025** | $160949 | $237015 | $119038 | $359362 |

---

# **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **10 Years** |
| Swan Defined Risk Fund | 7.74% | 7.65% | 4.87% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend | 11.62% | 9.62% | 9.01% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.76% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 13.65% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

# **Fund Statistics** 

---

| | |
|:---|:---|
| Net Assets | $643037067 |
| Number of Portfolio Holdings | 25 |
| Advisory Fee | $6817987 |
| Portfolio Turnover | 12% |

---

# **Asset Weighting (% of total investments)**![Group By Asset Type Chart](id28c1a2cf0c64c12a4d5305b.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 92.9% |
| Money Market Funds | 0.6% |
| Purchased Options | 6.5% |

---

# What did the Fund invest in?

# **Asset Weighting (% of net assets)**![Group By Sector Chart](i331deb0474c867ea7496e33d.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 0.6% |
| Index Option | 4.8% |
| Equity | 95.0% |

---

# Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 63.0% |
| Technology Select Sector SPDR Fund | 10.7% |
| S&P 500 Index, 12/18/26 6100.0 Put | 5.6% |
| Financial Select Sector SPDR Fund | 4.5% |
| Consumer Discretionary Select Sector SPDR Fund | 3.3% |
| Communication Services Select Sector SPDR Fund | 3.1% |
| Health Care Select Sector SPDR Fund | 3.0% |
| Industrial Select Sector SPDR Fund | 2.8% |
| Consumer Staples Select Sector SPDR Fund | 1.8% |
| Energy Select Sector SPDR Fund | 1.0% |

---

# Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

#### Swan Defined Risk Fund - Class I (SDRIX)

#### Annual Shareholder Report - June 30, 2025

# Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDRIX

# Swan Defined Risk Growth Fund

# Class A (SDAAX)

#### Annual Shareholder Report - June 30, 2025

## Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Growth Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

## What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class A | $173 | 1.65% |

---

## How did the Fund perform during the reporting period?
Overview: The Fund typically purchases its put options "out of the money" rather than "in the money." On the downside, this means the market must drop further before the put options start to offset losses. On the upside, this means the Fund should have a higher up capture. With the markets swinging up and down over the last year, this dynamic played out as expected.

For the year ended June 30th, 2025, Class A shares had a return of 9.03%. Compared to the S&P 500's return of 15.2%, this equates to a capture ratio of 60%. This is in line with expectations for the Fund.

Core Equity: the S&P 500-based ETFs representing the core equity exposure tracked the market down and up over the last year, posting a 14.8% return. During the market rout in the first week of April, the Fund's portfolio managers took the opportunity to add call spread positions to the Fund's portfolio. Call spreads are a trade that can augment upside capture if the markets rally. With the markets dramatically reversing course on April 9th, these trades contributed to the Fund's positive performance.

Hedge: the Fund completed its annual re-hedge process and entered 2025 with its put option hedges out-of-the money, with a strike price of 5750. When the market collapsed below 5000 in early April due to the "tariff tantrum", these put options went in-the-money and helped offset some of the S&P 500's decline. The maximum drawdown in 2024 for the Fund was -12.9% relative to the S&P 500's peak-to-trough loss of -18.8%. As markets rallied, the put options declined in value. The hedge portion had a -2.4% return during the year ended June 30th, 2025.

Additional Trades: the third component of the Fund is the buying and selling of shorter-term options with the goal of generating a modest return to help offset the carrying cost of the hedge. Due in part to the extreme volatility, both to the downside and then the upside in April 2025, this segment of the Fund had a return of -1.6% over the trailing 12 months.

## How has the Fund performed since inception?

### Total Return Based on $10,000 Investment
![Chart showing performance over last 10 years or since inception](i96d24c8c23c7981c0757516e.jpg)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Growth Fund** | **Swan Defined Risk Growth Fund - with load** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index** | **Bloomberg U.S. Aggregate Bond Index** | **S&P 500<sup>®</sup> Index** |
| **12/27/18** | $10000 | $9452 | $10000 | $10000 | $10000 |
| **06/30/19** | $11380 | $10756 | $11428 | $10642 | $11943 |
| **06/30/20** | $12046 | $11386 | $12408 | $11572 | $12840 |
| **06/30/21** | $15287 | $14449 | $15264 | $11533 | $18077 |
| **06/30/22** | $13684 | $12933 | $13701 | $10346 | $16158 |
| **06/30/23** | $15093 | $14265 | $15241 | $10249 | $19324 |
| **06/30/24** | $17551 | $16589 | $17592 | $10519 | $24070 |
| **06/30/25** | $19136 | $18087 | $19636 | $11158 | $27720 |

---

## **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Inception (December 27, 2018)** |
| Swan Defined Risk Growth Fund | 9.03% | 9.70% | 10.49% |
| With Load | 3.07% | 8.46% | 9.54% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index | 11.62% | 9.62% | 10.93% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.70% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 16.96% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

## **Fund Statistics** 
* Net Assets$47,691,874

* Number of Portfolio Holdings17

* Advisory Fee (net of waivers)$341,280

* Portfolio Turnover54%

## **Asset Weighting (% of total investments)**![Group By Asset Type Chart](ic66eaf3cd971c7b2bd08ee8a.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 88.0% |
| Money Market Funds | 3.1% |
| Purchased Options | 8.9% |

---

## What did the Fund invest in?

## **Asset Weighting (% of net assets)**![Group By Sector Chart](i65cf5207144ad01150faccc8.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 3.3% |
| Index Option | 4.7% |
| Equity | 92.4% |

---

## Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 92.4% |
| S&P 500 Index, 12/18/26 6900.0 Call | 4.2% |
| S&P 500 Index, 12/18/26 5750.0 Put | 4.1% |
| First American Government Obligations Fund, Class X | 2.4% |
| Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class | 0.9% |
| S&P 500 Index, 08/29/25 5720.0 Put | 0.6% |
| S&P 500 Index, 08/29/25 5530.0 Put | 0.4% |
| S&P 500 Index, 07/18/25 5675.0 Put | 0.1% |
| S&P 500 Index, 07/18/25 5525.0 Put | 0.0% |
| S&P 500 Index, 08/15/25 5595.0 Put | -0.0% |

---

## Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

# Swan Defined Risk Growth Fund - Class A (SDAAX)

#### Annual Shareholder Report - June 30, 2025

## Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDAAX

# Swan Defined Risk Growth Fund

# Class C (SDACX)

#### Annual Shareholder Report - June 30, 2025

## Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Growth Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

## What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class C | $250 | 2.40% |

---

## How did the Fund perform during the reporting period?
Overview: The Fund typically purchases its put options "out of the money" rather than "in the money." On the downside, this means the market must drop further before the put options start to offset losses. On the upside, this means the Fund should have a higher up capture. With the markets swinging up and down over the last year, this dynamic played out as expected.

For the year ended June 30th, 2025, Class C shares had a return of 8.21%. Compared to the S&P 500's return of 15.2%, this equates to a capture ratio of 54%. This is in line with expectations for the Fund.

Core Equity: the S&P 500-based ETFs representing the core equity exposure tracked the market down and up over the last year, posting a 14.8% return. During the market rout in the first week of April, the Fund's portfolio managers took the opportunity to add call spread positions to the Fund's portfolio. Call spreads are a trade that can augment upside capture if the markets rally. With the markets dramatically reversing course on April 9th, these trades contributed to the Fund's positive performance.

Hedge: the Fund completed its annual re-hedge process and entered 2025 with its put option hedges out-of-the money, with a strike price of 5750. When the market collapsed below 5000 in early April due to the "tariff tantrum", these put options went in-the-money and helped offset some of the S&P 500's decline. The maximum drawdown in 2024 for the Fund was -12.9% relative to the S&P 500's peak-to-trough loss of -18.8%. As markets rallied, the put options declined in value. The hedge portion had a -2.4% return during the year ended June 30th, 2025.

Additional Trades: the third component of the Fund is the buying and selling of shorter-term options with the goal of generating a modest return to help offset the carrying cost of the hedge. Due in part to the extreme volatility, both to the downside and then the upside in April 2025, this segment of the Fund had a return of -1.6% over the trailing 12 months.

## How has the Fund performed since inception?

### Total Return Based on $10,000 Investment
![Chart showing performance over last 10 years or since inception](i2db935a041776049d5ca9879.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Growth Fund** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index** | **Bloomberg U.S. Aggregate Bond Index** | **S&P 500<sup>®</sup> Index** |
| **Dec-2018** | $10000 | $10000 | $10000 | $10000 |
| **Jun-2019** | $11380 | $11428 | $10642 | $11943 |
| **Jun-2020** | $12032 | $12408 | $11572 | $12840 |
| **Jun-2021** | $15152 | $15264 | $11533 | $18077 |
| **Jun-2022** | $13476 | $13701 | $10346 | $16158 |
| **Jun-2023** | $14743 | $15241 | $10249 | $19324 |
| **Jun-2024** | $17015 | $17592 | $10519 | $24070 |
| **Jun-2025** | $18412 | $19636 | $11158 | $27720 |

---

## **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Inception (December 27, 2018)** |
| Swan Defined Risk Growth Fund | 8.21% | 8.88% | 9.84% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index | 11.62% | 9.62% | 10.93% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.70% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 16.96% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

## **Fund Statistics** 
* Net Assets$47,691,874

* Number of Portfolio Holdings17

* Advisory Fee (net of waivers)$341,280

* Portfolio Turnover54%

## **Asset Weighting (% of total investments)**![Group By Asset Type Chart](iccabd734c158be40627c526d.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 88.0% |
| Money Market Funds | 3.1% |
| Purchased Options | 8.9% |

---

## What did the Fund invest in?

## **Asset Weighting (% of net assets)**![Group By Sector Chart](i657fe83c1fc504ef7672351c.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 3.3% |
| Index Option | 4.7% |
| Equity | 92.4% |

---

## Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 92.4% |
| S&P 500 Index, 12/18/26 6900.0 Call | 4.2% |
| S&P 500 Index, 12/18/26 5750.0 Put | 4.1% |
| First American Government Obligations Fund, Class X | 2.4% |
| Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class | 0.9% |
| S&P 500 Index, 08/29/25 5720.0 Put | 0.6% |
| S&P 500 Index, 08/29/25 5530.0 Put | 0.4% |
| S&P 500 Index, 07/18/25 5675.0 Put | 0.1% |
| S&P 500 Index, 07/18/25 5525.0 Put | 0.0% |
| S&P 500 Index, 08/15/25 5595.0 Put | -0.0% |

---

## Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

# Swan Defined Risk Growth Fund - Class C (SDACX)

#### Annual Shareholder Report - June 30, 2025

## Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDACX

# Swan Defined Risk Growth Fund

# Class I (SDAIX)

#### Annual Shareholder Report - June 30, 2025

## Fund Overview
This annual shareholder report contains important information about Swan Defined Risk Growth Fund for the period of July 1, 2024 to June 30, 2025. You can find additional information about the Fund at **www.swandefinedriskfunds.com**. You can also request this information by contacting us at 1-877-896-2590.

## What were the Fund's costs for the last year?
(based on a hypothetical $10,000 investment)

---

| | | |
|:---|:---|:---|
| **Class Name** | **Costs of a $10,000 investment** | **Costs paid as a percentage of a $10,000 investment** |
| Class I | $147 | 1.40% |

---

## How did the Fund perform during the reporting period?
Overview: The Fund typically purchases its put options "out of the money" rather than "in the money." On the downside, this means the market must drop further before the put options start to offset losses. On the upside, this means the Fund should have a higher up capture. With the markets swinging up and down over the last year, this dynamic played out as expected.

For the year ended June 30th, 2025, Class I shares had a return of 9.28%. Compared to the S&P 500's return of 15.2%, this equates to a capture ratio of 61%. This is in line with expectations for the Fund.

Core Equity: the S&P 500-based ETFs representing the core equity exposure tracked the market down and up over the last year, posting a 14.8% return. During the market rout in the first week of April, the Fund's portfolio managers took the opportunity to add call spread positions to the Fund's portfolio. Call spreads are a trade that can augment upside capture if the markets rally. With the markets dramatically reversing course on April 9th, these trades contributed to the Fund's positive performance.

Hedge: the Fund completed its annual re-hedge process and entered 2025 with its put option hedges out-of-the money, with a strike price of 5750. When the market collapsed below 5000 in early April due to the "tariff tantrum", these put options went in-the-money and helped offset some of the S&P 500's decline. The maximum drawdown in 2024 for the Fund was -12.9% relative to the S&P 500's peak-to-trough loss of -18.8%. As markets rallied, the put options declined in value. The hedge portion had a -2.4% return during the year ended June 30th, 2025.

Additional Trades: the third component of the Fund is the buying and selling of shorter-term options with the goal of generating a modest return to help offset the carrying cost of the hedge. Due in part to the extreme volatility, both to the downside and then the upside in April 2025, this segment of the Fund had a return of -1.6% over the trailing 12 months.

## How has the Fund performed since inception?

### Total Return Based on $10,000 Investment
![Chart showing performance over last 10 years or since inception](i3d887bb54d67e115855da3b5.jpg)

---

| | | | | |
|:---|:---|:---|:---|:---|
| | **Swan Defined Risk Growth Fund** | **60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index** | **Bloomberg U.S. Aggregate Bond Index** | **S&P 500<sup>®</sup> Index** |
| **Dec-2018** | $10000 | $10000 | $10000 | $10000 |
| **Jun-2019** | $11380 | $11428 | $10642 | $11943 |
| **Jun-2020** | $12073 | $12408 | $11572 | $12840 |
| **Jun-2021** | $15359 | $15264 | $11533 | $18077 |
| **Jun-2022** | $13785 | $13701 | $10346 | $16158 |
| **Jun-2023** | $15247 | $15241 | $10249 | $19324 |
| **Jun-2024** | $17764 | $17592 | $10519 | $24070 |
| **Jun-2025** | $19413 | $19636 | $11158 | $27720 |

---

## **Average Annual Total Returns** 

---

| | | | |
|:---|:---|:---|:---|
| | **1 Year** | **5 Years** | **Since Inception (December 27, 2018)** |
| Swan Defined Risk Growth Fund | 9.28% | 9.97% | 10.73% |
| 60% - S&P 500<sup>®</sup> Index / 40% - Bloomberg U.S. Aggregate Bond Index | 11.62% | 9.62% | 10.93% |
| Bloomberg U.S. Aggregate Bond Index | 6.08% | -0.73% | 1.70% |
| S&P 500<sup>®</sup> Index | 15.16% | 16.64% | 16.96% |

---

***The Fund's past performance is not a good predictor of how the Fund will perform in the future. The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares.***

## **Fund Statistics** 
* Net Assets$47,691,874

* Number of Portfolio Holdings17

* Advisory Fee (net of waivers)$341,280

* Portfolio Turnover54%

## **Asset Weighting (% of total investments)**![Group By Asset Type Chart](i7d1d197b1f8290cbc09cb5e8.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Exchange-Traded Funds | 88.0% |
| Money Market Funds | 3.1% |
| Purchased Options | 8.9% |

---

## What did the Fund invest in?

## **Asset Weighting (% of net assets)**![Group By Sector Chart](if23a29f0e948515f064b6a1b.jpg)

---

| | |
|:---|:---|
| **Value** | **Value** |
| Liabilities in Excess of Other Assets | -0.4% |
| Money Market Funds | 3.3% |
| Index Option | 4.7% |
| Equity | 92.4% |

---

## Top 10 Holdings (% of net assets)

---

| | |
|:---|:---|
| Holding Name | % of Net Assets |
| iShares Core S&P 500 ETF | 92.4% |
| S&P 500 Index, 12/18/26 6900.0 Call | 4.2% |
| S&P 500 Index, 12/18/26 5750.0 Put | 4.1% |
| First American Government Obligations Fund, Class X | 2.4% |
| Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class | 0.9% |
| S&P 500 Index, 08/29/25 5720.0 Put | 0.6% |
| S&P 500 Index, 08/29/25 5530.0 Put | 0.4% |
| S&P 500 Index, 07/18/25 5675.0 Put | 0.1% |
| S&P 500 Index, 07/18/25 5525.0 Put | 0.0% |
| S&P 500 Index, 08/15/25 5595.0 Put | -0.0% |

---

## Material Fund Changes
No material changes occurred during the year ended June 30, 2025.

# Swan Defined Risk Growth Fund - Class I (SDAIX)

#### Annual Shareholder Report - June 30, 2025

## Where can I find additional information about the Fund?
Additional information is available on the Fund's website (**www.swandefinedriskfunds.com**), including its:

* Prospectus

* Financial information

* Holdings

* Proxy voting information

TSR-AR 063025-SDAIX

(b) Not applicable

**Item 2. Code of Ethics.** 

(a) The
 registrant has, as of the end of the period covered by this report, adopted a code of ethics that applies to the registrant's principal
 executive officer, principal financial officer, and principal accounting officer or controller, or persons performing similar functions,
 regardless of whether these individuals are employed by the registrant or a third party.

(b) N/A

(c) During
 the period covered by this report, there were no amendments to any provision of the code of ethics.

(d) During
 the period covered by this report, there were no waivers or implicit waivers of a provision of the code of ethics.

(e) N/A

(f) See
 Item 19(a)(1)

**Item 3. Audit Committee Financial Expert.** 

(a)(1)ii The Registrant's board of trustees has determined that Mark H. Taylor is an audit committee financial expert, as defined in Item 3 of Form N-CSR. Mr. Taylor is independent for purposes of this Item 3. (a)(2) Not applicable. (a)(3) Not applicable.

**Item 4. Principal Accountant Fees and Services.** 

(a) Audit
 Fees. The aggregate fees billed for each of the last two fiscal years for professional services rendered by the registrant's principal
 accountant for the audit of the registrant's annual financial statements or services that are normally provided by the accountant
 in connection with statutory and regulatory filings or engagements for those fiscal years are as follows:

2025&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $36,140

2024&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $87,700

(b) Audit-Related
 Fees. There were no fees billed in each of the last two fiscal years for assurances and related services by the principal accountant
 that are reasonably related to the performance of the audit of the registrant's financial statements and are not reported under paragraph
 (a) of this Item.

(c) Tax
 Fees. The aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant
 for tax compliance are as follows:

2025&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $7,460

2024&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $18,100

Preparation of Federal & State income tax returns, assistance with calculation of required income, capital gain and excise distributions and preparation of Federal excise tax returns.

---

| | |
|:---|:---|
| (d) | All Other Fees. The aggregate fees billed in each of the last two fiscal years for products and services provided by the registrant's principal accountant, other than the services reported in paragraphs (a) through (c) of this item were $0 and $0 for the fiscal years ended June 30, 2025 and 2024 respectively. |
| (e)(1) | The audit committee does not have pre-approval policies and procedures. Instead, the audit committee or audit committee chairman approves on a case-by-case basis each audit or non-audit service before the principal accountant is engaged by the registrant. |
| (e)(2) | There were no services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. |
| (f) | Not applicable. |
| (g) | All non-audit fees billed by the registrant's principal accountant for services rendered to the registrant for the fiscal years ended June 30, 2025 and 2024 respectively are disclosed in (b)-(d) above. There were no audit or non-audit services performed by the registrant's principal accountant for the registrant's adviser. |
| (h) | Not applicable. |
| (i) | Not applicable. |
| (j) | Not applicable. |

---

**Item 5. Audit Committee of Listed Registrants.**

Not applicable

**Item 6. Investments.** 

The Registrant's schedule of investments in unaffiliated issuers is included in the Financial Statements under Item 7 of this form.

**Item 7. Financial Statements and Financial Highlights for Open-End Management Investment Companies.**

(a)&nbsp;&nbsp;&nbsp;&nbsp;

---

| |
|:---|
| **Swan Defined Risk Fund** |
| Class A – SDRAX |
| Class C – SDRCX |
| Class I – SDRIX |
| **Swan Defined Risk Growth Fund** |
| Class A – SDAAX |
| Class C – SDACX |
| Class I – SDAIX |
| Annual Financial Statements |
| and Additional Information |
| June 30, 2025 |
| **1-877-896-2590** |
| **www.swandefinedriskfunds.com** |

---

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **SCHEDULE OF INVESTMENTS** |
| **June 30, 2025** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Shares** | | | | | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 95.0%** | **EXCHANGE-TRADED FUNDS — 95.0%** | **EXCHANGE-TRADED FUNDS — 95.0%** | **EXCHANGE-TRADED FUNDS — 95.0%** |  |
|  | **EQUITY – 95.0%** | **EQUITY – 95.0%** | **EQUITY – 95.0%** | **EQUITY – 95.0%** |  |
| 185308 | Communication Services Select Sector SPDR Fund<sup>(a)</sup> | Communication Services Select Sector SPDR Fund<sup>(a)</sup> | Communication Services Select Sector SPDR Fund<sup>(a)</sup> | Communication Services Select Sector SPDR Fund<sup>(a)</sup> | $20111477 |
| 98198 | Consumer Discretionary Select Sector SPDR Fund<sup>(a)</sup> | Consumer Discretionary Select Sector SPDR Fund<sup>(a)</sup> | Consumer Discretionary Select Sector SPDR Fund<sup>(a)</sup> | Consumer Discretionary Select Sector SPDR Fund<sup>(a)</sup> | 21341371 |
| 139605 | Consumer Staples Select Sector SPDR Fund<sup>(a)</sup> | Consumer Staples Select Sector SPDR Fund<sup>(a)</sup> | Consumer Staples Select Sector SPDR Fund<sup>(a)</sup> | Consumer Staples Select Sector SPDR Fund<sup>(a)</sup> | 11303817 |
| 72483 | Energy Select Sector SPDR Fund | Energy Select Sector SPDR Fund | Energy Select Sector SPDR Fund | Energy Select Sector SPDR Fund | 6147283 |
| 551267 | Financial Select Sector SPDR Fund<sup>(a)</sup> | Financial Select Sector SPDR Fund<sup>(a)</sup> | Financial Select Sector SPDR Fund<sup>(a)</sup> | Financial Select Sector SPDR Fund<sup>(a)</sup> | 28869853 |
| 143226 | Health Care Select Sector SPDR Fund<sup>(a)</sup> | Health Care Select Sector SPDR Fund<sup>(a)</sup> | Health Care Select Sector SPDR Fund<sup>(a)</sup> | Health Care Select Sector SPDR Fund<sup>(a)</sup> | 19305433 |
| 120870 | Industrial Select Sector SPDR Fund<sup>(a)</sup> | Industrial Select Sector SPDR Fund<sup>(a)</sup> | Industrial Select Sector SPDR Fund<sup>(a)</sup> | Industrial Select Sector SPDR Fund<sup>(a)</sup> | 17830742 |
| 652000 | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | 404826801 |
| 44066 | Materials Select Sector SPDR Fund | Materials Select Sector SPDR Fund | Materials Select Sector SPDR Fund | Materials Select Sector SPDR Fund | 3869435 |
| 100629 | Real Estate Select Sector SPDR Fund<sup>(a)</sup> | Real Estate Select Sector SPDR Fund<sup>(a)</sup> | Real Estate Select Sector SPDR Fund<sup>(a)</sup> | Real Estate Select Sector SPDR Fund<sup>(a)</sup> | 4168053 |
| 270761 | Technology Select Sector SPDR Fund<sup>(a)</sup> | Technology Select Sector SPDR Fund<sup>(a)</sup> | Technology Select Sector SPDR Fund<sup>(a)</sup> | Technology Select Sector SPDR Fund<sup>(a)</sup> | 68564808 |
| 59877 | Utilities Select Sector SPDR Fund | Utilities Select Sector SPDR Fund | Utilities Select Sector SPDR Fund | Utilities Select Sector SPDR Fund | 4889556 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $249,681,848)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $249,681,848)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $249,681,848)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $249,681,848)** | 611228629 |
|  | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** | **SHORT-TERM INVESTMENTS — 0.6%** |  |
|  | **MONEY MARKET FUNDS - 0.6%** | **MONEY MARKET FUNDS - 0.6%** | **MONEY MARKET FUNDS - 0.6%** | **MONEY MARKET FUNDS - 0.6%** |  |
| 3593623 | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | 3593623 |
| 292669 | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | 292669 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $3,886,292)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $3,886,292)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $3,886,292)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $3,886,292)** | 3886292 |
| **Contracts<sup>(c)</sup>** |  | **Expiration <br> Date** | **Exercise <br> Price** | **Notional<br> Value** |  |
|  | **INDEX OPTIONS PURCHASED - 6.7%** |  |  |  |  |
|  | **PUT OPTIONS PURCHASED - 6.7%** |  |  |  |  |
| 988 | S&P 500 Index | 07/18/2025 | $5525 | $613049060 | $287407 |
| 988 | S&P 500 Index | 07/18/2025 | 5675 | 613049060 | 434254 |
| 986 | S&P 500 Index | 08/29/2025 | 5530 | 611808070 | 2509966 |
| 986 | S&P 500 Index | 08/29/2025 | 5720 | 611808070 | 3847831 |
| 991 | S&P 500 Index | 12/18/2026 | 6100 | 614910545 | 35807797 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $64,566,952) | **TOTAL PUT OPTIONS PURCHASED** (Cost - $64,566,952) |  |  | 42887255 |
|  | **TOTAL INVESTMENTS – 102.3% (Cost $318,135,092)** | **TOTAL INVESTMENTS – 102.3% (Cost $318,135,092)** | **TOTAL INVESTMENTS – 102.3% (Cost $318,135,092)** |  | $658002176 |
|  | **CALL OPTIONS WRITTEN - (0.8)% (Premiums received - $4,613,466)** | **CALL OPTIONS WRITTEN - (0.8)% (Premiums received - $4,613,466)** | **CALL OPTIONS WRITTEN - (0.8)% (Premiums received - $4,613,466)** |  | (5198631) |
|  | **PUT OPTIONS WRITTEN - (1.1)% (Premiums received - $21,814,411)** | **PUT OPTIONS WRITTEN - (1.1)% (Premiums received - $21,814,411)** | **PUT OPTIONS WRITTEN - (1.1)% (Premiums received - $21,814,411)** |  | (7092189) |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%** | **LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%** | **LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4)%** |  | (2674289) |
|  | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** | **NET ASSETS - 100.0%** |  | $643037067 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **SCHEDULE OF INVESTMENTS (Continued)** |
| **June 30, 2025** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(c)</sup>** |  | **Expiration <br> Date** | **Exercise <br> Price** | **Notional <br> Value** | **Fair Value** |
|  | **WRITTEN INDEX OPTIONS - (1.9)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN - (0.8)%** |  |  |  |  |
| 98 | S&P 500 Index | 08/15/2025 | $6370 | $60808510 | $568673 |
| 203 | S&P 500 Index | 10/17/2025 | 6225 | 125960485 | 4629958 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Premiums received - $4,613,466) |  |  |  | 5198631 |
|  | **PUT OPTIONS WRITTEN - (1.1)%** |  |  |  |  |
| 1976 | S&P 500 Index | 07/18/2025 | 5600 | 1226098120 | 696345 |
| 98 | S&P 500 Index | 08/15/2025 | 5595 | 60808510 | 187359 |
| 986 | S&P 500 Index | 08/29/2025 | 5600 | 611808070 | 2929376 |
| 986 | S&P 500 Index | 08/29/2025 | 5650 | 611808070 | 3279109 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Premiums received - $21,814,411) |  |  |  | 7092189 |
|  | **TOTAL INDEX OPTIONS WRITTEN** (Premiums received - $26,427,877) |  |  |  | $12290820 |

---

ETF - Exchange-Traded Fund <br>SPDR - Standard & Poor's Depositary Receipt

 

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of June 30, 2025, the total value of securities held as collateral is $402,431,702.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of June 30, 2025.

<sup>(c)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **SCHEDULE OF INVESTMENTS** |
| **June 30, 2025** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Shares** | | | | | **Fair Value** |
|  | **EXCHANGE-TRADED FUNDS — 92.4%** | **EXCHANGE-TRADED FUNDS — 92.4%** | **EXCHANGE-TRADED FUNDS — 92.4%** | **EXCHANGE-TRADED FUNDS — 92.4%** |  |
|  | **EQUITY - 92.4%** | **EQUITY - 92.4%** | **EQUITY - 92.4%** | **EQUITY - 92.4%** |  |
| 71000 | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | iShares Core S&P 500 ETF<sup>(a)</sup> | $44083900 |
|  | **TOTAL EXCHANGE-TRADED FUNDS (Cost $24,842,403)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $24,842,403)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $24,842,403)** | **TOTAL EXCHANGE-TRADED FUNDS (Cost $24,842,403)** |  |
|  | **SHORT-TERM INVESTMENTS — 3.3%** | **SHORT-TERM INVESTMENTS — 3.3%** | **SHORT-TERM INVESTMENTS — 3.3%** | **SHORT-TERM INVESTMENTS — 3.3%** |  |
|  | **MONEY MARKET FUNDS – 3.3%** | **MONEY MARKET FUNDS – 3.3%** | **MONEY MARKET FUNDS – 3.3%** | **MONEY MARKET FUNDS – 3.3%** |  |
| 1135737 | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | First American Government Obligations Fund, Class X, 4.25%<sup>(b)</sup> | 1135737 |
| 426094 | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.97%<sup>(b)</sup> | 426094 |
|  | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,561,831)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,561,831)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,561,831)** | **TOTAL SHORT-TERM INVESTMENTS (Cost $1,561,831)** | 1561831 |
| **Contracts<sup>(c)</sup>** |  | **Expiration <br> Date** | **Exercise<br> Price** | **Notional <br> Value** |  |
|  | **INDEX OPTIONS PURCHASED - 9.4%** |  |  |  |  |
|  | **CALL OPTIONS PURCHASED - 4.2%** |  |  |  |  |
| 71 | S&P 500 Index | 12/18/2026 | $6900 | $44055145 | $2001768 |
|  | **TOTAL CALL OPTIONS PURCHASED (Cost - $1,137,349)** |  |  |  |  |
|  | **PUT OPTIONS PURCHASED - 5.2%** |  |  |  |  |
| 71 | S&P 500 Index | 07/18/2025 | 5525 | 44055145 | 20654 |
| 71 | S&P 500 Index | 07/18/2025 | 5675 | 44055145 | 31207 |
| 71 | S&P 500 Index | 08/29/2025 | 5530 | 44055145 | 180738 |
| 71 | S&P 500 Index | 08/29/2025 | 5720 | 44055145 | 277075 |
| 71 | S&P 500 Index | 12/18/2026 | 5750 | 44055145 | 1951107 |
|  | **TOTAL PUT OPTIONS PURCHASED** (Cost - $3,955,448) |  |  |  | 2460781 |
|  | **TOTAL INDEX OPTIONS PURCHASED** (Cost - $5,092,797) |  |  |  | 4462549 |
|  | **TOTAL INVESTMENTS – 105.1% (Cost $31,497,031)** |  |  |  | $50108280 |
|  | **CALL OPTIONS WRITTEN - (3.6)% (Premiums received - $1,509,275)** |  |  |  | (1706305) |
|  | **PUT OPTIONS WRITTEN - (1.1)% (Premiums received - $1,569,429)** |  |  |  | (510485) |
|  | **LIABILITIES IN EXCESS OF OTHER ASSETS – (0.4)%** |  |  |  | (199616) |
|  | **NET ASSETS - 100.0%** |  |  |  | $47691874 |
| **Contracts<sup>(c)</sup>** |  | **Expiration <br> Date** | **Exercise<br> Price** | **Notional <br> Value** | **Fair Value** |
|  | **WRITTEN INDEX OPTIONS - (4.7)%** |  |  |  |  |
|  | **CALL OPTIONS WRITTEN - (3.7)%** |  |  |  |  |
| 7 | S&P 500 Index | 08/15/2025 | $6370 | $4343465 | $40620 |
| 18 | S&P 500 Index | 09/19/2025 | 6050 | 11168910 | 557778 |
| 18 | S&P 500 Index | 10/17/2025 | 6225 | 11168910 | 410538 |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **SCHEDULE OF INVESTMENTS (Continued)** |
| **June 30, 2025** |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Contracts<sup>(c)</sup>** |  | **Expiration <br> Date** | **Exercise<br> Price** | **Notional <br> Value** | **Fair Value** |
|  | **WRITTEN INDEX OPTIONS - (4.7)%** | **WRITTEN INDEX OPTIONS - (4.7)%** |  |  |  |
|  | **CALL OPTIONS WRITTEN - (3.6)% (Continued)** | **CALL OPTIONS WRITTEN - (3.6)% (Continued)** |  |  |  |
| 71 | S&P 500 Index | 12/18/2026 | $7500 | $44055145 | $697369 |
|  | **TOTAL CALL OPTIONS WRITTEN** (Premiums received - $1,509,275) | **TOTAL CALL OPTIONS WRITTEN** (Premiums received - $1,509,275) |  |  | 1706305 |
|  | **PUT OPTIONS WRITTEN - (1.1)%** |  |  |  |  |
| 142 | S&P 500 Index | 07/18/2025 | 5600 | 88110290 | 50041 |
| 7 | S&P 500 Index | 08/15/2025 | 5595 | 4343465 | 13383 |
| 71 | S&P 500 Index | 08/29/2025 | 5600 | 44055145 | 210939 |
| 71 | S&P 500 Index | 08/29/2025 | 5650 | 44055145 | 236122 |
|  | **TOTAL PUT OPTIONS WRITTEN** (Premiums received - $1,569,429) |  |  |  | 510485 |
|  | **TOTAL INDEX OPTIONS WRITTEN** (Premiums received - $3,078,704) | **TOTAL INDEX OPTIONS WRITTEN** (Premiums received - $3,078,704) |  |  | $2216790 |

---

ETF - Exchange-Traded Fund

<sup>(a)</sup> All or a portion of the security is held as collateral for written options. As of June 30, 2025, the total value of securities held as collateral is $30,424,100.

<sup>(b)</sup> Rate disclosed is the seven day effective yield as of June 30, 2025.

<sup>(c)</sup> Each option contract allows the holder of the option to purchase or sell 100 shares of the underlying security.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **STATEMENTS OF ASSETS AND LIABILITIES** |
| **June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
|  | <br>**Swan Defined Risk**<br>**Fund** | **Swan Defined Risk**<br>**Growth**<br>**Fund** |
| **ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Investment securities: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments, at cost | $318135092 | $31497031 |
| &nbsp;&nbsp;&nbsp;Total investments at value | 658002176 | 50108280 |
| &nbsp;&nbsp;&nbsp;Cash held at broker |  | 2 |
| &nbsp;&nbsp;&nbsp;Receivable for Fund shares sold | 170806 |  |
| &nbsp;&nbsp;&nbsp;Dividends and interest receivable | 18228 | 4092 |
| &nbsp;&nbsp;&nbsp;Prepaid expenses and other assets | 18342 | 9340 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL ASSETS** | 658209552 | 50121714 |
| **LIABILITIES** |  |  |
| &nbsp;&nbsp;&nbsp;Options written, at value |  |  |
| &nbsp;&nbsp;&nbsp;(Premiums received - $26,427,877 and $3,078,704, respectively) | 12290820 | 2216790 |
| &nbsp;&nbsp;&nbsp;Investment advisory fees payable | 522643 | 52008 |
| &nbsp;&nbsp;&nbsp;Payable for investments purchased | 1632827 | 112057 |
| &nbsp;&nbsp;&nbsp;Payable for Fund shares repurchased | 464170 | 4122 |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees payable | 69481 | 1500 |
| &nbsp;&nbsp;&nbsp;Payable to related parties | 45879 | 10945 |
| &nbsp;&nbsp;&nbsp;Accrued expenses and other liabilities | 146665 | 32418 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL LIABILITIES** | 15172485 | 2429840 |
| **NET ASSETS** | $**643037067** | $**47691874** |
| **NET ASSETS CONSIST OF:** |  |  |
| &nbsp;&nbsp;&nbsp;Paid in capital | $256064736 | $30838424 |
| &nbsp;&nbsp;&nbsp;Accumulated earnings | 386972331 | 16853450 |
| **NET ASSETS** | $**643037067** | $**47691874** |
| **NET ASSET VALUE PER SHARE:** |  |  |
| Class A Shares: |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**127211960** | $**1919287** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **8479147** | **135009** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding) and offering price per share | $**15.00** | $**14.22** |
| &nbsp;&nbsp;&nbsp;Maximum offering price per share (maximum sales charge of 5.50%) | $**15.87** | $**15.05** |
| Class C Shares: |  |  |
| &nbsp;&nbsp;&nbsp;N et Assets | $**53451318** | $**1377254** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **3792902** | **101666** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share | $**14.09** | $**13.55** |
| Class I Shares: |  |  |
| &nbsp;&nbsp;&nbsp;Net Assets | $**462373789** | $**44395333** |
| &nbsp;&nbsp;&nbsp;Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized) | **30494475** | **3071809** |
| &nbsp;&nbsp;&nbsp;Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share | $**15.16** | $**14.45** |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **STATEMENTS OF OPERATIONS** |
| **For the Year Ended June 30, 2025** |

---

---

| | | |
|:---|:---|:---|
|  | **Swan Defined Risk**<br>**Fund** | **Swan Defined Risk**<br>**Growth Fund** |
| **INVESTMENT INCOME** |  |  |
| &nbsp;&nbsp;&nbsp;Dividends | $8591759 | $539178 |
| &nbsp;&nbsp;&nbsp;Interest | 414993 | 67899 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL INVESTMENT INCOME** | 9006752 | 607077 |
| **EXPENSES** |  |  |
| &nbsp;&nbsp;&nbsp;Investment advisory fees | 6817987 | 404898 |
| &nbsp;&nbsp;&nbsp;Distribution (12b-1) fees: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 292632 | 4518 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 705905 | 13486 |
| &nbsp;&nbsp;&nbsp;Administration fees | 452173 | 57888 |
| &nbsp;&nbsp;&nbsp;Third party administrative service fees | 384441 | 14697 |
| &nbsp;&nbsp;&nbsp;Accounting services fees | 144142 | 8260 |
| &nbsp;&nbsp;&nbsp;Transfer agent fees | 87259 | 31748 |
| &nbsp;&nbsp;&nbsp;Custodian fees | 64405 | 10324 |
| &nbsp;&nbsp;&nbsp;Registration fees | 51217 | 25107 |
| &nbsp;&nbsp;&nbsp;Printing and postage expenses | 43498 | 7500 |
| &nbsp;&nbsp;&nbsp;Compliance officer fees | 39280 | 11044 |
| &nbsp;&nbsp;&nbsp;Audit fees | 23783 | 23783 |
| &nbsp;&nbsp;&nbsp;Legal fees | 20001 | 13000 |
| &nbsp;&nbsp;&nbsp;Trustees' fees and expenses | 16942 | 16435 |
| &nbsp;&nbsp;&nbsp;Insurance expense | 8066 | 3013 |
| &nbsp;&nbsp;&nbsp;Other expenses | 4500 | 5000 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL EXPENSES** | 9156231 | 650701 |
| &nbsp;&nbsp;&nbsp;Less: Fees waived by the Advisor |  | (63618) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;**TOTAL NET EXPENSES** | 9156231 | 587083 |
| **NET INVESTMENT INCOME (LOSS)** | (149479) | 19994 |
| **REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN** |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | 102697972 | (473659) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options purchased | (11693459) | 2841412 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options written | (42102619) | (4620398) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | 48901894 | (2252645) |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Investments | (23605830) | 3523873 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options purchased | 25473076 | 57436 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Options written | (789414) | 943692 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation on investments, options purchased and options written | 1077832 | 4525001 |
| **NET REALIZED AND UNREALIZED GAIN ON INVESTMENTS, OPTIONS PURCHASED AND OPTIONS WRITTEN** | 49979726 | 2272356 |
| **NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS** | $**49830247** | $**2292350** |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $(149479) | $951511 |
| &nbsp;&nbsp;&nbsp;Net realized gain on investments, options purchased and options written | 48901894 | 81805497 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments, options purchased and options written | 1077832 | (2853693) |
| Net increase in net assets resulting from operations | 49830247 | 79903315 |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (6659086) | (11021178) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (4843228) | (10945254) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (29938726) | (62079272) |
| Net decrease in net assets resulting from distributions to shareholders | (41441040) | (84045704) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 30620875 | 15994461 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 6189148 | 3966638 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 43210204 | 45702487 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 6324190 | 10456035 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 4437591 | 10194937 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 28331964 | 58552340 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (18530683) | (19532699) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (42712074) | (31083575) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (136123052) | (184977821) |
| Net decrease in net assets from shares of beneficial interest | (78251837) | (90727197) |
| **TOTAL DECREASE IN NET ASSETS** | (69862630) | (94869586) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Year | 712899697 | 807769283 |
| &nbsp;&nbsp;&nbsp;End of Year | $**643037067** | $**712899697** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2078651 | 1094738 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 428759 | 748463 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (1240639) | (1332925) |
| &nbsp;&nbsp;&nbsp;Net increase in shares of beneficial interest outstanding | 1266771 | 510276 |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 434010 | 279706 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 319251 | 765386 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (3055170) | (2222964) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (2301909) | (1177872) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2863113 | 3095418 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 1904030 | 4161502 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (9058168) | (12506559) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (4291025) | (5249639) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **STATEMENTS OF CHANGES IN NET ASSETS** |

---

---

| | | |
|:---|:---|:---|
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** |
| **FROM OPERATIONS** |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) | $19994 | $(106617) |
| &nbsp;&nbsp;&nbsp;Net realized gain (loss) on investments, options purchased and options written | (2252645) | 15941720 |
| &nbsp;&nbsp;&nbsp;Net change in unrealized appreciation (depreciation) on investments, options purchased and options written | 4525001 | (9379585) |
| Net increase in net assets resulting from operations | 2292350 | 6455518 |
| **DISTRIBUTIONS TO SHAREHOLDERS** |  |  |
| &nbsp;&nbsp;&nbsp;Total distributions paid |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (37045) | (419620) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (28349) | (372927) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (669735) | (7445425) |
| Net decrease in net assets resulting from distributions to shareholders | (735129) | (8237972) |
| **FROM SHARES OF BENEFICIAL INTEREST** |  |  |
| &nbsp;&nbsp;&nbsp;Proceeds from shares sold: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 127394 | 191532 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 68640 | 35807 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 33325286 | 13976711 |
| &nbsp;&nbsp;&nbsp;Net asset value of shares issued in reinvestment of distributions: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | 36596 | 417698 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | 25367 | 344626 |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | 664774 | 7336657 |
| &nbsp;&nbsp;&nbsp;Payments for shares redeemed: |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class A | (25429) | (800994) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class C | (248688) | (536056) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Class I | (22076042) | (72576663) |
| Net increase (decrease) in net assets from shares of beneficial interest | 11897898 | (51610682) |
| **TOTAL INCREASE (DECREASE) IN NET ASSETS** | 13455119 | (53393136) |
| **NET ASSETS** |  |  |
| &nbsp;&nbsp;&nbsp;Beginning of Year | 34236755 | 87629891 |
| &nbsp;&nbsp;&nbsp;End of Year | $**47691874** | $**34236755** |
| **SHARE ACTIVITY** |  |  |
| Class A: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 9533 | 13115 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 2634 | 34521 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (1785) | (58535) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 10382 | (10899) |
| Class C: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 5203 | 2761 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 1907 | 29531 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (19356) | (40916) |
| &nbsp;&nbsp;&nbsp;Net decrease in shares of beneficial interest outstanding | (12246) | (8624) |
| Class I: |  |  |
| &nbsp;&nbsp;&nbsp;Shares Sold | 2385002 | 983067 |
| &nbsp;&nbsp;&nbsp;Shares Reinvested | 47114 | 598911 |
| &nbsp;&nbsp;&nbsp;Shares Redeemed | (1666833) | (4900753) |
| &nbsp;&nbsp;&nbsp;Net increase (decrease) in shares of beneficial interest outstanding | 765283 | (3318775) |

---

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $14.83 | $14.95 | $13.79 | $14.93 | $12.51 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.02) | 0.01 | 0.02 | (0.03) | (0.00) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.11 | 1.57 | 1.14 | (1.11) | 2.43 |
| Total from investment operations | 1.09 | 1.58 | 1.16 | (1.14) | 2.43 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  | (0.01) |  |  | (0.01) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.92) | (1.69) |  |  |  |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  |  | (0.00 |
| Total distributions | (0.92) | (1.70) |  |  | (0.01 |
| Net asset value, end of year | $15.00 | $14.83 | $14.95 | $13.79 | $14.93 |
| Total return (3) | 7.43% (4) | 11.24% (4) | 8.41% (4) | (7.64)% (4) | 19.44 |
| Net assets, at end of year (000s) | $127212 | $106982 | $100212 | $124935 | $145133 |
| Ratio of expenses to average net assets (5) | 1.45% | 1.46% | 1.45% | 1.43% | 1.42 |
| Ratio of net investment income (loss) to average net assets (56) | (0.11)% | 0.05% | 0.14% | (0.17)% | 0.00 |
| Portfolio Turnover Rate | 12% | 12% | 22% | 3% | 11 |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Amount is less than $0.01.

(3) Total return assumes reinvestment
 of all dividends and distributions, if any.

(4) Includes adjustments in accordance
 with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes
 and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(5) Does not include the expenses of other
 investment companies in which the Fund invests.

(6) Recognition of investment income (loss)
 by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $14.08 | $14.37 | $13.35 | $14.57 | $12.29 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss (1) | (0.13) | (0.10) | (0.08) | (0.14) | (0.10) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.06 | 1.50 | 1.10 | (1.08) | 2.38 |
| Total from investment operations | 0.93 | 1.40 | 1.02 | (1.22) | 2.28 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.92) | (1.69) |  |  |  |
| Total distributions | (0.92) | (1.69) |  |  |  |
| Net asset value, end of year | $14.09 | $14.08 | $14.37 | $13.35 | $14.57 |
| Total return (2) | 6.66% (3) | 10.41% (3) | 7.64% | (8.37)% | 18.55% |
| Net assets, at end of year (000s) | $53451 | $85830 | $104519 | $110351 | $130659 |
| Ratio of expenses to average net assets (4) | 2.20% | 2.21% | 2.20% | 2.18% | 2.17% |
| Ratio of net investment loss to average net assets (45) | (0.90)% | (0.72)% | (0.57)% | (0.93)% | (0.75)% |
| Portfolio Turnover Rate | 12% | 12% | 22% | 3% | 11% |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Total return assumes reinvestment
 of all dividends and distributions, if any.

(3) Includes adjustments in accordance
 with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes
 and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(4) Does not include the expenses of other
 investment companies in which the Fund invests.

(5) Recognition of investment income (loss)
 by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $14.95 | $15.06 | $13.86 | $14.99 | $12.56 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (1) | 0.02 | 0.04 | 0.05 | 0.00 | 0.03 |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.12 | 1.59 | 1.15 | (1.13 | 2.45 |
| Total from investment operations | 1.14 | 1.63 | 1.20 | (1.13 | 2.48 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income | (0.01) | (0.05) |  |  | (0.05) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.92) | (1.69) |  |  |  |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  |  | (0.00 |
| Total distributions | (0.93) | (1.74) |  |  | (0.05 |
| Net asset value, end of year | $15.16 | $14.95 | $15.06 | $13.86 | $14.99 |
| Total return (3) | 7.74% | 11.53% | 8.66% | (7.54 | 19.75 |
| Net assets, at end of year (000s) | $462374 | $520088 | $603038 | $737073 | $857376 |
| Ratio of expenses to average net assets (4) | 1.20% | 1.21% | 1.20% | 1.18 | 1.17 |
| Ratio of net investment income to average net assets (45) | 0.12% | 0.29% | 0.35% | 0.02 | 0.24 |
| Portfolio Turnover Rate | 12% | 12% | 22% | 3 | 11 |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Amount is less than $0.01.

(3) Total return assumes reinvestment
 of all dividends and distributions, if any.

(4) Does not include the expenses of other
 investment companies in which the Fund invests.

(5) Recognition of investment income by
 the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class A** | **Class A** | **Class A** | **Class A** | **Class A** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $13.31 | $14.78 | $13.40 | $14.97 | $11.86 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | (0.03) | (0.02) | 0.01 | (0.06) | (0.05) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.23 | 2.08 | 1.37 | (1.51) | 3.23 |
| Total from investment operations | 1.20 | 2.06 | 1.38 | (1.57) | 3.18 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.29) | (3.53) |  |  | (0.07) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  |  | (0.00 |
| Total distributions | (0.29) | (3.53) |  |  | (0.07 |
| Net asset value, end of year | $14.22 | $13.31 | $14.78 | $13.40 | $14.97 |
| Total return (3) | 9.03% | 16.29% | 10.30% | (10.49)% | 26.90 |
| Net assets, at end of year (000s) | $1919 | $1659 | $2003 | $1823 | $3263 |
| Ratio of gross expenses to average net assets before waiver/recapture (4) | 1.81% | 1.85% | 1.57% | 1.57% | 1.63 |
| Ratio of net expenses to average net assets after waiver/recapture (4) | 1.65% | 1.65% | 1.65% (5) | 1.65% (5) | 1.65 |
| Ratio of net investment loss to average net assets (46) | (0.24)% | (0.16)% | (0.09)% | (0.52)% | (0.38) |
| Portfolio Turnover Rate | 54% | 16% | 21% | 3% | 27 |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Amount is less than $0.01.

(3) Total return assumes reinvestment
 of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

(4) Does not include the expenses of other
 investment companies in which the Fund invests.

(5) Represents the ratio of expenses to
 average net assets inclusive of the advisor's recapture of waived/reimbursed fees from prior periods.

(6) Recognition of investment income (loss)
 by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class C** | **Class C** | **Class C** | **Class C** | **Class C** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $12.79 | $14.43 | $13.19 | $14.83 | $11.84 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment loss (1) | (0.13) | (0.12) | (0.09) | (0.16) | (0.12) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.18 | 2.01 | 1.33 | (1.48) | 3.18 |
| Total from investment operations | 1.05 | 1.89 | 1.24 | (1.64) | 3.06 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.29) | (3.53) |  |  | (0.07) |
| Total distributions | (0.29) | (3.53) |  |  | (0.07) |
| Net asset value, end of year | $13.55 | $12.79 | $14.43 | $13.19 | $14.83 |
| Total return (2) | 8.21% | 15.41% | 9.40% | (11.06)% | 25.93% |
| Net assets, at end of year (000s) | $1377 | $1457 | $1768 | $1798 | $1092 |
| Ratio of gross expenses to average net assets before waiver/recapture (3) | 2.56% | 2.60% | 2.32% | 2.32% | 2.38% |
| Ratio of net expenses to average net assets after waiver/recapture (3) | 2.40% | 2.40% | 2.40% (4) | 2.40% (4) | 2.40% (4) |
| Ratio of net investment loss to average net assets (35) | (1.01)% | (0.92)% | (0.84)% | (1.17)% | (0.85)% |
| Portfolio Turnover Rate | 54% | 16% | 21% | 3% | 27% |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Total return assumes reinvestment
 of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

(3) Does not include the expenses of other
 investment companies in which the Fund invests.

(4) Represents the ratio of expenses to
 average net assets inclusive of the advisor's recapture of waived/reimbursed fees from prior periods.

(5) Recognition of investment income (loss)
 by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN DEFINED RISK GROWTH FUND** |
| **FINANCIAL HIGHLIGHTS** |
| Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year |

---

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
|  | **Class I** | **Class I** | **Class I** | **Class I** | **Class I** |
|  | **For the**<br>**Year Ended**<br>**June 30, 2025** | **For the**<br>**Year Ended**<br>**June 30, 2024** | **For the**<br>**Year Ended**<br>**June 30, 2023** | **For the**<br>**Year Ended**<br>**June 30, 2022** | **For the**<br>**Year Ended**<br>**June 30, 2021** |
| Net asset value, beginning of year | $13.49 | $14.91 | $13.47 | $15.02 | $11.88 |
| Activity from investment operations: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income (loss) (1) | 0.02 | (0.03) | 0.03 | (0.02) | (0.01) |
| &nbsp;&nbsp;&nbsp;Net realized and unrealized gain (loss) on investments, options purchased and options written | 1.23 | 2.14 | 1.41 | (1.53) | 3.23 |
| Total from investment operations | 1.25 | 2.11 | 1.44 | (1.55) | 3.22 |
| Less distributions from: |  |  |  |  |  |
| &nbsp;&nbsp;&nbsp;Net investment income |  |  |  |  | (0.01) |
| &nbsp;&nbsp;&nbsp;Net realized gains | (0.29) | (3.53) |  |  | (0.07) |
| &nbsp;&nbsp;&nbsp;Return of capital |  |  |  |  | (0.00 |
| Total distributions | (0.29) | (3.53) |  |  | (0.08 |
| Net asset value, end of year | $14.45 | $13.49 | $14.91 | $13.47 | $15.02 |
| Total return (3) | 9.28% (4) | 16.51% (4) | 10.69% (4) | (10.32)% (4) | 27.23 |
| Net assets, at end of year (000s) | $44395 | $31121 | $83858 | $100218 | $80421 |
| Ratio of gross expenses to average net assets before waiver/recapture (5) | 1.56% | 1.60% | 1.32% | 1.32% | 1.38 |
| Ratio of net expenses to average net assets after waiver/recapture (5) | 1.40% | 1.40% | 1.40% (6) | 1.40% (6) | 1.40 |
| Ratio of net investment income (loss) to average net assets (57) | 0.10% | (0.22)% | 0.16% | (0.23)% | (0.08) |
| Portfolio Turnover Rate | 54% | 16% | 21% | 3% | 27 |

---

(1) Per share amounts calculated using
 the average shares method.

(2) Amount is less than $0.01.

(3) Total return assumes reinvestment
 of all dividends and distributions, if any. Had the advisor not waived a portion of its fees, total returns would have been lower.

(4) Includes adjustments in accordance
 with accounting principles generally accepted in the United States and, consequently, the net asset value for financial reporting purposes
 and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.

(5) Does not include the expenses of other
 investment companies in which the Fund invests.

(6) Represents the ratio of expenses to
 average net assets inclusive of the advisor's recapture of waived/reimbursed fees from prior periods.

(7) Recognition of investment income (loss)
 by the Fund is affected by the timing and declaration of dividends by the underlying investment companies in which the Fund invests.

See accompanying notes to financial statements.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS** |
| **June 30, 2025** |

---

**1.** **ORGANIZATION** 

The Swan Defined Risk Fund and Swan Defined Risk Growth Fund (each a "Fund" and together, the "Funds") are each a diversified series of shares of beneficial interest of Northern Lights Fund Trust III (the "Trust"), a Delaware statutory trust organized on December 5, 2011. The Trust is registered under the Investment Company Act of 1940, as amended (the "1940 Act"), as an open-end management investment company. The Funds are "funds of funds" in that they will generally invest in other investment companies.

The investment objectives of each Fund is to seek long term capital appreciation.

Each Fund offers Class A, Class C, and Class I shares. The Swan Defined Risk Fund's Class A shares and Class I shares commenced operations on July 30, 2012, and Class C shares on October 18, 2012. The Swan Defined Risk Growth Fund commenced operations on December 27, 2018. Class A shares of each Fund are offered at net asset value plus a maximum sales charge of 5.50%. Class I and Class C shares of each Fund are offered at net asset value. Each class of the Funds represents an interest in the same assets of the respective Fund and classes are identical except for differences in their distribution charges, sales charges, and minimum investment levels. All classes of shares have equal voting privileges except that each class has exclusive voting rights with respect to its service and/or distribution plans. Fund level income and expenses, and realized and unrealized capital gains and losses are allocated to each class of shares based on their relative net assets within each Fund. Class specific expenses are allocated to that share class.

**2.** **SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES** 

The following is a summary of significant accounting policies followed by the Funds in preparation of their financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America ("GAAP"). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure 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 those estimates. The Funds are investment companies and accordingly follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board ("FASB") Accounting Standards Codification Topic 946 "Financial Services – Investment Companies".

**Operating Segments** - The Funds have adopted FASB Accounting Standards Update 2023-07, Segment Reporting (Topic 280) - Improvements to Reportable Segment Disclosures ("ASU 2023-07"). Adoption of the standard impacted financial statement disclosures only and did not affect each Fund's financial position or the results of its operations. An operating segment is defined in Topic 280 as a component of a public entity that engages in business activities from which it may recognize revenues and incur expenses, has operating results that are regularly reviewed by the public entity's chief operating decision maker ("CODM") to make decisions about resources to be allocated to the segment and assess its performance, and has discrete financial information available. The CODM is comprised of the portfolio managers and Chief Financial Officer of the Funds. Each Fund operates as a single operating segment. Each Fund's income, expenses, assets, changes in net assets resulting from operations and performance are regularly monitored and assessed as a whole by the CODM responsible for oversight functions of each Fund, using the information presented in the financial statements and financial highlights.

**Securities Valuation** – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price ("NOCP"). In the absence of a sale, such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settled price or, in the absence of a settled price, at the last sale price on the day of valuation. Debt securities (other than short-term obligations) are valued each day by an independent pricing service approved by the Trust's Board of Trustees (the "Board") based on methods which include consideration of: yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions or market quotations from a major market maker in the securities. Investments valued in currencies other than the U.S. dollar are converted to U.S. dollars using exchange rates obtained from pricing services. Short- term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost. Options contracts are valued by an independent pricing service using a series of techniques, including simulation pricing models. The pricing models use various inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, implied volatility, and exchange rates.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

**Valuation of Underlying Funds** – The Funds may invest in portfolios of open-end or closed-end investment companies (the "underlying funds"). Underlying open-end investment companies are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value by the methods established by the boards of the underlying funds. The shares of many closed-end investment companies, after their initial public offering, frequently trade at a price per share, which is different than the net asset value per share. The difference represents a market premium or market discount of such shares. There can be no assurances that the market discount or market premium on shares of any closed-end investment company purchased by the Funds will not change.

The Funds may hold investments, such as private investments, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These investments will be valued using the "fair value" procedures approved by the Board. The Board has delegated execution of these procedures to the advisor as its valuation designee (the "Valuation Designee"). The Board may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant or financial officer of a security issuer on an as-needed basis to assist the Valuation Designee in determining a security-specific fair value. The Board is responsible for reviewing and approving fair value methodologies utilized by the Valuation Designee, which approval shall be based upon whether the Valuation Designee followed the valuation procedures established by the Board.

**Fair Valuation Process** – Applicable investments are valued by the Valuation Designee pursuant to valuation procedures established by the Board. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are insufficient or not readily available on a particular business day (including securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the judgment of the Valuation Designee, the prices or values available do not represent the fair value of the instrument; factors which may cause the Valuation Designee to make such a judgment include, but are not limited to, the following: only a bid price or an asked price is available; the spread between bid and asked prices is substantial; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets, such as the suspension or limitation of trading; (iii) securities determined to be illiquid; and (iv) securities with respect to which an event that will affect the value thereof has occurred (a "significant event") since the closing prices were established on the principal exchange on which they are traded, but prior to a Fund's calculation of its net asset value. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid investments, such as private investments or non-traded securities are valued based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If a current bid from such independent dealers or other independent parties is unavailable, the Valuation Designee shall determine, the fair value of such security using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of a Fund's holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; and (xi) the market value of any securities into which the security is convertible or exchangeable.

The Funds utilize various methods to measure the fair value of all of their investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that a Fund has the ability to access.

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, 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 a Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

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.

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety, is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following tables summarize the inputs used as of June 30, 2025 for the Funds' investments measured at fair value:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund | Swan Defined Risk Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Funds | $611228629 | $— | $— | $611228629 |
| Purchased Put Options |  | 42887255 |  | 42887255 |
| Short-Term Investments | 3886292 |  |  | 3886292 |
| **Total** | $**615114921** | $**42887255** | $**—** | $**658002176** |
| **Liabilities \*** |  |  |  |  |
| Call Option Written | $— | $5198631 | $— | $5198631 |
| Put Options Written |  | 7092189 |  | 7092189 |
| **Total** | $**—** | $**12290820** | $**—** | $**12290820** |
| Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund | Swan Defined Risk Growth Fund |
| **Assets \*** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| Exchange-Traded Fund | $44083900 | $— | $— | $44083900 |
| Purchased Call Options |  | 2001768 |  | 2001768 |
| Purchased Put Options |  | 2460781 |  | 2460781 |
| Short-Term Investments | 1561831 |  |  | 1561831 |
| **Total** | $**45645731** | $**4462549** | $**—** | $**50108280** |
| **Liabilities \*** |  |  |  |  |
| Call Options Written | $— | $1706305 | $— | $1706305 |
| Put Options Written |  | 510485 |  | 510485 |
| **Total** | $**—** | $**2216790** | $**—** | $**2216790** |

---

The Funds did not hold any Level 3 securities during the period.

\* Please refer to the Schedule of Investments for Classification.

**Security Transactions and Investment Income** *–* Investment security transactions are accounted for on a trade date basis. Cost is determined and gains and losses are based upon the specific identification method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Purchase discounts and premiums on securities are accreted and amortized over the life of the respective securities.

**Option Transactions** – The Funds are subject to equity price risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against risk. When a Fund writes an option, an amount equal to the premium received is included in the statement of assets and liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. If an option expires on its stipulated expiration date or if a Fund enters into a closing purchase transaction, a gain or loss is realized. If a written call option is exercised, a gain or loss is realized for the sale of the underlying security and the proceeds from the sale are increased by the premium originally received. If a written put option is exercised, the purchase cost of the underlying security is reduced by the premium originally received. As a writer of an option, the Funds have no control over whether the option will be exercised and, as a result, retains the market risk of an unfavorable change in the price of the security underlying the written option.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

The Funds may purchase put and call options. Put options are purchased to hedge against a decline in the value of securities held in a Fund's portfolio. If such a decline occurs, the put options will permit a Fund to sell the securities underlying such options at the exercise price, or to close out the options at a profit. The premium paid for a put or call option plus any transaction costs will reduce the benefit, if any, realized by a Fund upon exercise of the option, and, unless the price of the underlying security rises or declines sufficiently, the option may expire worthless to the applicable Fund. In addition, in the event that the price of the security in connection with which an option was purchased moves in a direction favorable to a Fund, the benefits realized by the applicable Fund as a result of such favorable movement will be reduced by the amount of the premium paid for the option and related transaction costs. Written and purchased options are non-income producing securities. With purchased options, there is minimal counterparty risk to a Fund since these options are exchange traded and the exchange's clearinghouse, as counterparty to all exchange traded options, guarantees against a possible default.

**Option Risk** – Purchased put options may expire worthless and may have imperfect correlation to the value of the Funds' sector ETFs. Written call and put options may limit the Funds' participation in equity market gains and may amplify losses in market declines. The Funds' losses are potentially large in a written put or call transaction. If unhedged, written calls expose the Funds to potentially unlimited losses.

**Distributions to Shareholders** – Distributions from net investment income, if any, are declared and paid at least annually and are recorded on the ex-dividend date. The Funds will declare and pay net realized capital gains, if any, annually. The character of income and gains to be distributed is determined in accordance with federal income tax regulations, which may differ from GAAP. These "book/tax" differences are considered either temporary (i.e., deferred losses, capital loss carry forwards) or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the composition of net assets based on their federal tax-basis treatment; temporary differences do not require classification.

**Federal Income Taxes –** It is the Funds' policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of their taxable income to their shareholders. Therefore, no provision for Federal income tax is required. The Funds recognize the tax benefits of uncertain tax positions only where the position is "more likely than not" to be sustained assuming examination by tax authorities. Management has analyzed the Funds' tax positions and has concluded that no liability for unrecognized tax benefits should be recorded related to uncertain tax positions taken on returns filed for the open tax years 2022 - 2024 for all Funds or expected to be taken by all the Funds in their 2025 tax returns. The Funds identify their major tax jurisdictions as U.S. Federal, Ohio and foreign jurisdictions where the Funds make significant investments. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will change materially in the next twelve months.

**Exchange Traded Funds** – The Funds may invest in exchange traded funds ("ETFs"). ETFs are a type of fund bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities. The Funds may purchase an ETF to gain exposure to a portion of the U.S. or a foreign market. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity on an ETF could result in it being more volatile. Additionally, ETFs have fees and expenses that reduce their value.

**ETF Risk** – ETFs are subject to investment advisory and other expenses, which will be indirectly paid by the Funds. As a result, the cost of investing in the Funds will be higher than the cost of investing directly in ETFs and may be higher than other mutual funds that invest directly in stocks. ETFs are subject to specific risks, depending on the nature of the ETF.

**Expenses** *–* Expenses of the Trust that are directly identifiable to a specific fund are charged to that fund. Expenses that are not readily identifiable to a specific fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative sizes of the funds in the Trust.

**Indemnification** *–* The Trust indemnifies its officers and Trustees for certain liabilities that may arise from the performance of their duties to the Trust. Additionally, in the normal course of business, the Funds enter into contracts that contain a variety of representations and warranties and which provide general indemnities. The Funds' maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss due to these warranties and indemnities to be remote.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

**Cash Held at Broker** – Cash held at broker includes cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Funds maintain deposits with a high quality financial institution in an amount that is in excess of federally insured limits. Each Fund places deposits only with those counterparties that are believed to be creditworthy and there has been no history of loss.

**Cash and Cash Equivalents** - Cash and cash equivalents are held with a financial institution. The assets of a Fund may be placed in deposit accounts at U.S. banks and such deposits generally exceed Federal Deposit Insurance Corporation ("FDIC") insurance limits. The FDIC insures deposit accounts up to $250,000 for each account holder. The counterparty is generally a single bank rather than a group of financial institutions; thus, there may be a greater counterparty credit risk. Each Fund places deposits only with those counterparties that are believed to be creditworthy and there has been no history of loss.

**Market Risk –** Overall market risks may also affect the value of the Funds. The market values of securities or other investments owned by the Funds will go up or down, sometimes rapidly or unpredictably. Factors such as economic growth and market conditions, interest rate levels, exchange rates and political events affect the securities markets. Changes in market conditions and interest rates generally do not have the same impact on all types of securities and instruments. Unexpected local, regional or global events and their aftermath, such as war; acts of terrorism; tariffs and trade wars; financial, political or social disruptions; natural, environmental or man-made disasters; climate change and climate related events; the spread of infectious illnesses or other public health issues; recessions and depressions; or other tragedies, catastrophes and events could have a significant impact on the Funds and their investments and could result in increased premiums or discounts to a Fund's net asset value, and may impair market liquidity, thereby increasing liquidity risk. Such events can cause investor fear and panic, which can adversely affect the economies of many companies, sectors, nations, regions and the market in general, in ways that cannot necessarily be foreseen. The Funds could lose money over short periods due to short-term market movements and over longer periods during more prolonged market downturns. During a general market downturn, multiple asset classes may be negatively affected. In times of severe market disruptions, you could lose your entire investment.

**Leveraging Risk** – The use of leverage, such as that embedded in options, could magnify the Funds' gains or losses. Written option positions expose the Funds to potential losses many times the option premium received.

**3.** **INVESTMENT ADVISORY AGREEMENT AND TRANSACTIONS WITH RELATED PARTIES** 

Swan Capital Management, LLC (the "Advisor") serves as investment advisor to the Funds. Subject to the oversight of the Board, the Advisor is responsible for the management of the Funds' investment portfolios. The Advisor has selected Swan Global Management, LLC, (the "Sub-Advisor"), an affiliate of the Advisor with the same ownership and management as the Advisor, to serve as the Funds' sub-advisor, effective November 19, 2014 for the Swan Defined Risk Fund and since commencement of the Swan Defined Risk Growth Fund.

Pursuant to an advisory agreement with the Trust, on behalf of the Funds, the Advisor, under the oversight of the Board, directs the daily operations of the Funds and supervises the performance of administrative and professional services provided by others. As compensation for its services and the related expenses borne by the Advisor, the Funds pay the Advisor a fee, computed and accrued daily and paid monthly at an annual rate of 1.00% of each Fund's average daily net assets.

For the year ended June 30, 2025, the advisory fees incurred by each of the Funds were as follows:

---

| | |
|:---|:---|
| Fund | Advisory Fees |
| Swan Defined Risk Fund | $6817987 |
| Swan Defined Risk Growth Fund | 404898 |

---

Pursuant to a written contract (the "Waiver Agreement"), the Advisor has agreed to waive a portion of its advisory fee and has agreed to reimburse expenses of the Funds until at least November 1, 2025 to the extent necessary so that the total expenses incurred by the applicable Fund (excluding (i) any front-end or contingent deferred loads; (ii) brokerage fees and commissions, (iii) acquired fund fees and expenses; (iv) borrowing costs (such as interest and dividend expense on securities sold short); (v) taxes; and (vi) extraordinary expenses, such as litigation expenses (which may include indemnification of Fund officers and Trustees, contractual indemnification of Fund service providers (other than the

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

Advisor))) do not exceed 1.65%, 2.40%, and 1.40% of the daily average net assets attributable to Class A, Class C, and Class I shares, respectively, of the applicable Fund.

If the Advisor waives any fee or reimburses any expense pursuant to the Waiver Agreement, and a Fund's Operating Expenses attributable to Class A, Class C, and Class I shares are subsequently less than the expense limitations, the Advisor shall be entitled to reimbursement by the applicable Fund for such waived fees or reimbursed expenses provided that such reimbursement does not cause the Fund's expenses to exceed the expense limitation in place at the time of waiver or reimbursement or at time of recoupment, whichever is less. If Fund Operating Expenses attributable to Class A, Class C and Class I shares subsequently exceed the expense limitation, the reimbursements shall be suspended. The Advisor may seek reimbursement only for expenses waived or paid by it during the three years prior to such reimbursement; provided, however, that such expenses may only be reimbursed to the extent they were waived or paid after the date of the Waiver Agreement (or any similar agreement).

During the year ended June 30, 2025, the Advisor waived/reimbursed fees and expenses pursuant to the Waiver Agreement as follows:

---

| | |
|:---|:---|
|  | Advisory |
| Fund | Fees Waived |
| Swan Defined Risk Fund | $— |
| Swan Defined Risk Growth Fund | 63618 |

---

During the year ended June 30, 2025, the Advisor did not recapture any previously waived fees. As of June 30, 2025, the Advisor may recapture all or a portion of the waived fees no later than the dates stated below:

---

| | | | | |
|:---|:---|:---|:---|:---|
| Fund | June 30, 2026 | June 30, 2027 | June 30, 2028 | Total |
| Swan Defined Risk Fund | $– $|  | $— | $— |
| Swan Defined Risk Growth Fund | – | 86743 | 63618 | 150361 |

---

**Distributor** – The distributor of the Funds is Northern Lights Distributors, LLC (the "Distributor"). The Board has adopted, on behalf of the Funds, the Trust's Master Distribution and Shareholder Servicing Plans for Class A and Class C shares as amended, pursuant to Rule 12b-1 under the 1940 Act (the "Plans"), to pay for certain distribution activities and shareholder services. Under the Plans, the Funds may pay 0.25% per year of the average daily net assets of Class A shares and 1.00% of the average daily net assets for Class C shares for such distribution and shareholder service activities.

For the year ended June 30, 2025, the Funds incurred 12b-1 fees attributable to Class A and C shares as follows:

---

| | | |
|:---|:---|:---|
| Fund | Class A | Class C |
| Swan Defined Risk Fund | $292632 | $705905 |
| Swan Defined Risk Growth Fund | 4518 | 13486 |

---

The Distributor acts as the Funds' principal underwriter in a continuous public offering of the Funds' shares. During the year ended June 30, 2025, the Distributor received underwriting commissions for sales of Class A shares of each of the Funds as follows:

---

| | | |
|:---|:---|:---|
|  | | Amount Retained |
|  | | by Principal |
| Fund | Commission | Underwriter |
| Swan Defined Risk Fund | $71988 | $12312 |
| Swan Defined Risk Growth Fund | 82 | 7 |

---

In addition, certain affiliates of the Distributor provide services to the Funds as follows:

<u>Ultimus Fund Solutions, LLC ("UFS")</u> - an affiliate of the Distributor, provides administration, fund accounting, and transfer agent services to the Trust. Pursuant to separate servicing agreements with UFS, the Funds pay UFS customary fees for providing administration, fund accounting and transfer agency services to the Funds. Certain officers of the Trust are also officers of UFS, and are not paid any fees directly by the Funds for serving in such capacities.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

<u>Northern Lights Compliance Services, LLC ("NLCS")</u> - an affiliate of UFS and the Distributor, provides a Chief Compliance Officer to the Trust, as well as related compliance services, pursuant to a consulting agreement between NLCS and the Trust. Under the terms of such agreement, NLCS receives customary fees from the Funds.

<u>Blu Giant, LLC ("Blu Giant")</u> – an affiliate of UFS and the Distributor, provides EDGAR conversion and filing services as well as print management services for the Funds on an ad-hoc basis. For the provision of these services, Blu Giant receives customary fees from the Funds.

**4.** **INVESTMENT TRANSACTIONS** 

The cost of purchases and proceeds from the sale of securities, other than U.S. government securities and short-term investments, for the year ended June 30, 2025 were as follows:

---

| | | |
|:---|:---|:---|
| Fund | Purchases | Sales |
| Swan Defined Risk Fund | $— | $149261863 |
| Swan Defined Risk Growth Fund | 24178830 | 15431790 |

---

**5.** **DERIVATIVE TRANSACTIONS** 

The following is a summary of the effect of derivative instruments on the Funds' Statements of Assets and Liabilities as of June 30, 2025.

---

| | | |
|:---|:---|:---|
| **Swan Defined Risk Fund** |  | |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Index contracts/Equity price risk | Investment securities, at value | $42887255 |
| Index contracts/Equity price risk | Options Written, at value | (12290820) |
| **Swan Defined Risk Growth Fund** |  |  |
| Contract Type/Primary Risk Exposure | Statements of Assets and Liabilities | Value |
| Index contracts/Equity price risk | Investment securities, at value | $4462549 |
| Index contracts/Equity price risk | Options Written, at value | (2216790) |

---

The following is a summary of the effect of derivative instruments on the Funds' Statements of Operations for the year ended June 30, 2025.

**Swan Defined Risk Fund**

---

| | | |
|:---|:---|:---|
|  | | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Index contracts/Equity price risk | $(11693459) | $25473076 |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Index contracts/Equity price risk | $(42102619) | $(789414) |

---

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

**Swan Defined Risk Growth Fund**

---

| | | |
|:---|:---|:---|
|  | | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Purchased | on Options Purchased |
| Index contracts/Equity price risk | $2841412 | $57436 |
|  |  | Change in Unrealized |
|  | Realized Gain/(Loss) | Appreciation/(Depreciation) |
| Contract Type/Primary Risk Exposure | on Options Written | on Options Written |
| Index contracts/Equity price risk | $(4620398) | $943692 |

---

The notional value of the derivative instruments outstanding as of June 30, 2025 as disclosed in the Schedule of Investments and the amounts realized and changes in unrealized gains and losses on derivative instruments during the period as disclosed above and within the Statements of Operations serve as indicators of the volume of derivative activity for the Funds.

**6.** **AGGREGATE UNREALIZED APPRECIATION AND DEPRECIATION – TAX BASIS** 

---

| | | | | |
|:---|:---|:---|:---|:---|
|  | | Gross | Gross | Net Unrealized |
|  | Tax | Unrealized | Unrealized | Appreciation |
| Fund | Cost | Appreciation | Depreciation | (Depreciation) |
| Swan Defined Risk Fund | $284393137 | $361546781 | $(228562) | $361318219 |
| Swan Defined Risk Growth Fund | 29126455 | 19241497 | (476462) | 18765035 |

---

**7.** **DISTRIBUTIONS TO SHAREHOLDERS AND TAX COMPONENTS OF CAPITAL** 

The tax character of distributions paid for the years ended June 30, 2024, and June 30, 2025, was as follows:

---

| | | | | |
|:---|:---|:---|:---|:---|
| **For the year ended June 30, 2025:** | **For the year ended June 30, 2025:** | **For the year ended June 30, 2025:** | **For the year ended June 30, 2025:** | **For the year ended June 30, 2025:** |
|  | **Ordinary** | **Long-Term** | **Return** | |
| **Portfolio** | **Income** | **Capital Gains** | **of Capital** | **Total** |
| Swan Defined Risk Fund | $451171 | $40989869 | $— | $41441040 |
| Swan Defined Risk Growth Fund |  | 735129 |  | 735129 |
| **For the year ended June 30, 2024:** | **For the year ended June 30, 2024:** | **For the year ended June 30, 2024:** | **For the year ended June 30, 2024:** | **For the year ended June 30, 2024:** |
|  | **Ordinary** | **Long-Term** | **Return** |  |
| **Portfolio** | **Income** | **Capital Gains** | **of Capital** | **Total** |
| Swan Defined Risk Fund | $1795399 | $82250305 | $— | $84045704 |
| Swan Defined Risk Growth Fund |  | 8237972 |  | 8237972 |

---

As of June 30, 2025, the components of accumulated earnings/(deficit) on a tax basis were as follows:

---

| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| <br>**Portfolio** | **Undistributed**<br>**Ordinary**<br>**Income** | **Undistributed**<br>**Long-Term**<br>**Capital Gains** | **Post October Loss**<br>**and**<br>**Late Year Loss** | **Capital Loss**<br>**Carry**<br>**Forwards** | **Other**<br>**Book/Tax**<br>**Differences** | **Unrealized**<br>**Appreciation/**<br>**(Depreciation)** | **Total**<br>**Accumulated**<br>**Earnings/(Deficits)** |
| Swan Defined Risk Fund | $— | $30514318 | $— | $— | $(4860206) | 361318219 | $386972331 |
| Swan Defined Risk Growth Fund |  | 92 | (1627945) |  | (283732) | 18765035 | 16853450 |

---

The difference between book basis and tax basis unrealized appreciation (depreciation) and accumulated net realized gains (losses) from investments is primarily attributable to the tax deferral of losses on wash sales and straddles, as well as the mark-to-market on open 1256 option contracts. In addition, the amounts listed under other book/tax differences are primarily attributable to the tax deferral of losses on straddles.

---

| |
|:---|
| **SWAN FUNDS** |
| **NOTES TO FINANCIAL STATEMENTS (Continued)** |
| **June 30, 2025** |

---

Capital losses incurred after October 31 within the fiscal year are deemed to arise on the first business day of the following fiscal year for tax purposes. The Funds incurred and elected to defer such capital losses as follows:

---

| | |
|:---|:---|
| <br>**Portfolio** | **Post October**<br>**Losses** |
| Swan Defined Risk Fund | $— |
| Swan Defined Risk Growth Fund | 1627945 |

---

During the fiscal year ended June 30, 2025, certain of the Funds utilized tax equalization which is the use of earnings and profits distributions to shareholders on redemption of shares as part of the dividends paid deduction for income tax purposes. Permanent book and tax differences, primarily attributable to the book/tax basis treatment of net operating losses, resulted in reclassification for the year ended June 30, 2025, as follows:

---

| | | |
|:---|:---|:---|
| <br>**Portfolio** | **Paid**<br>**In**<br>**Capital** |<br>**Distributable/Accumulated**<br>**Earnings (Losses)** |
| Swan Defined Risk Fund | $8580143 | $(8580143) |
| Swan Defined Risk Growth Fund | (11267) | 11267 |

---

**8.** **CONTROL OWNERSHIP** 

The beneficial ownership either directly or indirectly, of more than 25% of voting securities of a fund creates a presumption of control of the fund, under Section 2(a)(9) of the 1940 Act. As of June 30, 2025, the shareholders listed below held more than 25% of an individual Fund and may be deemed to control that Fund. The Funds have no knowledge as to whether all or any portion of the shares owned of record within the omnibus accounts listed below are also owned beneficially.

---

| | | |
|:---|:---|:---|
| **Shareholder** | **Fund** | **Percent** |
| Pershing LLC | Swan Defined Risk Growth Fund | 57.34% |

---

**9.** **UNDERLYING INVESTMENT IN OTHER INVESTMENT COMPANIES** 

Each underlying fund, including each ETF, is subject to specific risks, depending on the nature of the underlying fund. These risks could include liquidity risk, sector risk, foreign and related currency risk, as well as risks associated with real estate investments and commodities. Investors in the Funds will indirectly bear fees and expenses charged by the underlying investment companies in which the Funds invest in addition to the Funds' direct fees and expenses. The performance of each Fund will be directly affected by the performance of its investment in the underlying fund. The financial statements of the underlying funds, including their portfolios of investments, can be found at the SEC's website, www.sec.gov, and should be read in conjunction with the Funds' financial statements. As of June 30, 2025, the percentage of each Fund's net assets invested in an underlying fund was as follows:

---

| | | |
|:---|:---|:---|
| Fund | Underlying Investment | % of Net Assets |
| Swan Defined Risk Fund | iShares Core S&P 500 ETF | 63.0% |
| Swan Defined Risk Growth Fund | iShares Core S&P 500 ETF | 92.4% |

---

**10.** **SUBSEQUENT EVENTS** 

Subsequent events after the date of the Statements of Assets and Liabilities have been evaluated through the date the financial statements were issued. Management has determined that no events or transactions occurred requiring adjustment or disclosure in the financial statements.

**REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM**

To the Board of Trustees of Northern Lights Fund Trust III and the Shareholders of Swan Defined Risk Fund, and Swan Defined Risk Growth Fund:

**Opinion on the Financial Statements and Financial Highlights**

We have audited the accompanying statements of assets and liabilities of Swan Defined Risk Fund and Swan Defined Risk Growth Fund (collectively, the "Funds"), each a fund constituting the Northern Lights Fund Trust III (the "Trust"), including the schedules of investments, as of June 30, 2025, the related statements of operations for the year then ended, statements of changes in net assets for each of the two years in the period then ended, financial highlights for each of the five years in the period then ended, and the related notes (collectively referred to as the "financial statements and financial highlights").

In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Funds of the Trust as of June 30, 2025, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended in conformity with accounting principles generally accepted in the United States of America.

**Basis for Opinion**

These financial statements and financial highlights are the responsibility of the Funds' management. Our responsibility is to express an opinion on the Fund's financial statements and financial highlights 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 and financial highlights are free of material misstatement, whether due to error or fraud. The Funds are not required to have, nor were we engaged to perform, an audit of their internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Funds' internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, 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 and financial highlights. 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 and financial highlights. Our procedures included confirmation of securities owned as of June 30, 2025, by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

![(SIGNATURE)](sw001_v1.jpg)

Costa Mesa, California

August 28, 2025

We have served as the auditor of one or more Swan Funds investment companies since 2018.

---

| |
|:---|
| **SWAN FUNDS** |
| **ADDITIONAL INFORMATION (Unaudited)** |
| **June 30, 2025** |

---

**Changes in and Disagreements with Accountants**

There were no changes in or disagreements with accountants during the period covered by this report.

**Proxy Disclosures**

Not applicable.

**Remuneration Paid to Directors, Officers and Others**

Refer to the financial statements included herein.

**Statement Regarding Basis for Approval of Investment Advisory Agreement**

**Renewal of Advisory Agreement and Sub-Advisory Agreement – Swan Defined Risk Growth Fund and Swan Defined Risk Fund\***

In connection with a meeting held on May 20-21, 2025, the Board, including a majority of the Trustees who are not "interested persons," as that term is defined in the 1940 Act, discussed the renewal of the investment advisory agreement between Swan Capital Management, LLC (the "Adviser") and the Trust with respect to the Swan Defined Risk Fund ("Swan DR"), and Swan Defined Risk Growth Fund ("Swan Growth" and collectively, the "Swan Funds"), and the sub-advisory agreement between Swan Global Management, LLC (the "Sub-Adviser") and the Adviser with respect to the Swan Funds. The Board agreed that it was appropriate to consider the renewal of the advisory and sub-advisory agreements (collectively, the "Agreements") for the Swan Funds together because the Adviser and the Sub-Adviser (collectively, "Swan") were under common management and control with shared resources and personnel. In considering the renewal of the Agreements, the Board received materials specifically relating to the Swan Funds and the Agreements.

The Board relied upon the advice of independent legal counsel and its own business judgment in determining the material factors to be considered in evaluating the Agreements and the weight to be given to each such factor. The Board's conclusions were based on an evaluation of all of the information provided and were not the result of any one factor. Moreover, each Trustee may have afforded different weight to the various factors in reaching conclusions with respect to the Agreements.

*<u>Nature, Extent & Quality of Services</u>*. The Board noted that the Adviser was founded in 1997, and together with its affiliate and commonly controlled Sub-Adviser, managed approximately $2.4 billion in assets. The Board acknowledged that Swan provided wealth management and investment advisory services to high-net-worth individuals, institutions, other investment advisory firms, and mutual funds. The Board discussed the background information of Swan's key investment personnel servicing each Swan Fund, taking into account their education and financial industry experience, specifically with option strategies used to support its hedged equity approach. The Board observed that Swan had an investment committee that performed research to determine asset allocations for each Swan Fund to be utilized under a proprietary rules-based system that included a risk mitigation sub-strategy that utilized options in an effort to minimize downside risk, reduce volatility, and generate option premium income. The Board noted that Swan's compliance team monitored each Swan Fund's investment limitations using checklists, risk matrices, compliance calendars and reconciliations, and compliance checklists. The Board remarked that Swan selected brokers based on best execution standards that included the speed and cost of execution, options trading capability and technology capabilities. The Board noted that Swan did not use artificial intelligence. The Board acknowledged Swan's cybersecurity policies and procedures. The Board concluded that Swan could be expected to continue providing quality service to each Swan Fund and its shareholders.

---

| |
|:---|
| **SWAN FUNDS** |
| **ADDITIONAL INFORMATION (Unaudited) (Continued)** |
| **June 30, 2025** |

---

*<u>Performance</u>*.

*Swan Growth—*The Board observed that Swan Growth was a 4-star Morningstar rated fund. The Board noted that Swan Growth outperformed its peer group and Morningstar category, but underperformed its benchmark, over all periods. The Board noted that Swan Growth was in the first or second quartile for net returns among its peer group and Morningstar category over all periods. The Board acknowledged that over the 1-year period, Swan Growth had a capture ratio of over 60% relative to the benchmark which was within expectations. The Board determined that Swan could be expected to continue to provide reasonable returns consistent with the stated objective and strategy for Swan Growth and its shareholders.

*Swan DR—*The Board acknowledged that Swan DR was a 3-star Morningstar rated fund. The Board noted that Swan DR underperformed its Morningstar category, peer group and benchmark over the 1-year and 3-year periods. The Board observed that Swan DR outperformed its Morningstar category, but underperformed its peer group and benchmark, over the 5-year period. The Board noted that Swan DR performed on par with the peer group and Morningstar category, but underperformed its benchmark, since inception. The Board commented that over the 1-year period, Swan DR had a capture ratio of over 50% relative to the benchmark which was within expectations. The Board determined that Swan should be given the chance to manage Swan DR over a full market cycle.

*<u>Fees and Expenses</u>*.

*Swan Growth—*The Board noted that Swan Growth's advisory fee was the same as the Morningstar category median and average and lower than the peer group median and average. The Board observed that Swan Growth's net expense ratio was lower than the peer group average but higher than the Morningstar category median and average and peer group average. The Board considered Swan's explanation that many of the funds with lower fees in the Morningstar category were passively managed whereas Swan Growth was actively managed due to the option component in Swan Growth's strategy. The Board concluded that the advisory fee for Swan Growth was not unreasonable.

*Swan DR—*The Board noted that Swan DR's advisory fee was on par with the Morningstar category median and average but higher than the peer group average and median. The Board observed that Swan DR's net expense ratio was higher than the Morningstar category median and average but lower than the peer group median and average. The Board considered that Swan actively managed the hedge and additional return/income components of Swan DR's strategy whereas many of the funds in its peer group were passively managed. The Board concluded that the advisory fee for Swan DR was not unreasonable.

*<u>Economies of Scale</u>*.

The Board considered whether Swan had achieved economies of scale with respect to the management of each Swan Fund. They noted that during the prior 12 months Swan had waived a portion of its advisory fee from Swan Growth. The Board noted that Swan had indicated its willingness to continue monitoring for opportunities to implement breakpoints as each Swan Fund increased its assets. The Board agreed that in light of the expense limitation agreements, which effectively protected shareholders from high expenses despite lower asset levels, and Swan's willingness to consider breakpoints as each Swan Fund reached higher asset levels, the absence of breakpoints at this time was acceptable.

---

| |
|:---|
| **SWAN FUNDS** |
| **ADDITIONAL INFORMATION (Unaudited) (Continued)** |
| **June 30, 2025** |

---

*<u>Profitability</u>*.

The Board reviewed Swan's profitability analysis in connection with its advisory services for each Swan Fund and noted that Swan earned a profit from Swan DR and Swan Growth. The Board observed that Swan was hiring additional staff to provide additional operations, compliance, and legal support. The Board considered that Swan's method of allocating costs and agreed that it was not unreasonable. The Board concluded that Swan was not realizing an excessive profit from the advisory fee paid to each of the Swan Funds or in the aggregate to all of the Swan Funds.

*<u>Conclusion</u>* . Having requested and reviewed such information from Swan as the Board believed to be reasonably necessary to evaluate the terms of the Agreements, and as assisted by the advice of independent counsel, the Board concluded that renewal of the Agreements was in the best interests of each Swan Fund and its respective shareholders.

\* Due to timing of the contract renewal schedule, these deliberations may or may not relate to the current performance results of the Swan Funds.

**Item 8. Changes in and Disagreements with Accountants for Open-End Management Investment Companies.** 

Not applicable

**Item 9. Proxy Disclosures for Open-End Management Investment Companies.** 

Not applicable

**Item 10. Remuneration Paid to Directors, Officers, and Others of Open-End Management Investment Companies.** 

Included under Item 7

**Item 11. Statement Regarding Basis for Approval of Investment Advisory Contract.** 

Included under Item 7

**Item 12. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.** 

Not applicable

**Item 13. Portfolio Managers of Closed-End Management Investment Companies.**

Not applicable

**Item 14. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.** 

Not applicable

**Item 15. Submission of Matters to a Vote of Security Holders.** 

None

**Item 16. Controls and Procedures** 

(a) The registrant's Principal Executive Officer and Principal Financial Officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act) are effective in design and operation and are sufficient to form the basis of the certifications required by Rule 30a-(2) under the Act, based on their evaluation of these disclosure controls and procedures as of a date within 90 days of this report on Form N-CSR.

(b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting.

**Item 17. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.** 

Not applicable

**Item 18. Recovery of Erroneously Awarded Compensation.**

(a)&nbsp;&nbsp;&nbsp;&nbsp; Not applicable

(b)&nbsp;&nbsp;&nbsp;&nbsp; Not applicable

**Item 19. Exhibits.** 

(a)(1) [Code of Ethics for Principal Executive and Senior Financial Officers.](coe.htm)

(a)(2) Not applicable

(a)(3) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2(a)): [Attached hereto.](ex_99cert.htm)

(a)(4) Not applicable

(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): [Attached hereto](ex_99-906cert.htm)

**SIGNATURES**

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Northern Lights Fund Trust III

---

| | |
|:---|:---|
| By | /s/ Brian Curley |

---

Brian Curley <br> Principal Executive Officer <br> Date: 9/2/2025

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

---

| | |
|:---|:---|
| By | /s/ Brian Curley |

---

Brian Curley <br> Principal Executive Officer <br> Date: 9/2/2025

---

| | |
|:---|:---|
| By | /s/ Richard Gleason |

---

Richard Gleason <br> Principal Financial Officer <br> Date: 9/2/2025

## Ex-99.Cert

**Certification** [Exhibit 99. CERT]

I, Brian Curley, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I
 have reviewed this report on Form N-CSR of Northern Lights Fund Trust III ("registrant");

&nbsp;&nbsp;&nbsp;&nbsp;2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact or
 omit to state a material fact necessary to make the statements made, in light of the circumstances
 under which such statements were made, not misleading with respect to the period covered
 by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based
 on my knowledge, the financial statements, and other financial information included in this
 report, fairly present in all material respects the financial condition, results of operations,
 changes in net assets, and cash flows (if the financial statements are required to include
 a statement of cash flows) of the registrant as of, and for, the periods presented in this
 report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The
 registrant's other certifying officer(s) and I are responsible for establishing and maintaining
 disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company
 Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under
 the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to the
 registrant, including its consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed
 such internal control over financial reporting, or caused such internal control over financial
 reporting to be designed under our supervision, to provide reasonable assurance regarding
 the reliability of financial reporting and the preparation of financial statements for external
 purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented in
 this report our conclusions about the effectiveness of the disclosure controls and procedures,
 as of a date within 90 days prior to the filing date of this report based on such evaluation;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed
 in this report any change in the registrant's internal control over financial reporting
 that occurred during the period covered by this report that has materially affected, or is
 reasonably likely to materially affect, the registrant's internal control over financial
 reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's auditors
 and the audit committee of the registrant's board of directors (or persons performing the
 equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All
 significant deficiencies and material weaknesses in the design or operation of internal control
 over financial reporting which are reasonably likely to adversely affect the registrant's
 ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any
 fraud, whether or not material, that involves management or other employees who have a significant
 role in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: 9/2/2025 | /s/ Brian Curley |
|  | Brian Curley |
|  | Principal Executive Officer |

---

**Certification** [Exhibit 99. CERT]

I, Richard Gleason, certify that:

&nbsp;&nbsp;&nbsp;&nbsp;1. I
 have reviewed this report on Form N-CSR of Northern Lights Fund Trust III ("registrant");

&nbsp;&nbsp;&nbsp;&nbsp;2. Based
 on my knowledge, this report does not contain any untrue statement of a material fact or
 omit to state a material fact necessary to make the statements made, in light of the circumstances
 under which such statements were made, not misleading with respect to the period covered
 by this report;

&nbsp;&nbsp;&nbsp;&nbsp;3. Based
 on my knowledge, the financial statements, and other financial information included in this
 report, fairly present in all material respects the financial condition, results of operations,
 changes in net assets, and cash flows (if the financial statements are required to include
 a statement of cash flows) of the registrant as of, and for, the periods presented in this
 report;

&nbsp;&nbsp;&nbsp;&nbsp;4. The
 registrant's other certifying officer(s) and I are responsible for establishing and maintaining
 disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company
 Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under
 the Investment Company Act of 1940) for the registrant and have:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. Designed
 such disclosure controls and procedures, or caused such disclosure controls and procedures
 to be designed under our supervision, to ensure that material information relating to the
 registrant, including its consolidated subsidiaries, is made known to us by others within
 those entities, particularly during the period in which this report is being prepared;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Designed
 such internal control over financial reporting, or caused such internal control over financial
 reporting to be designed under our supervision, to provide reasonable assurance regarding
 the reliability of financial reporting and the preparation of financial statements for external
 purposes in accordance with generally accepted accounting principles;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. Evaluated
 the effectiveness of the registrant's disclosure controls and procedures and presented in
 this report our conclusions about the effectiveness of the disclosure controls and procedures,
 as of a date within 90 days prior to the filing date of this report based on such evaluation;
 and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. Disclosed
 in this report any change in the registrant's internal control over financial reporting
 that occurred during the period covered by this report that has materially affected, or is
 reasonably likely to materially affect, the registrant's internal control over financial
 reporting; and

&nbsp;&nbsp;&nbsp;&nbsp;5. The
 registrant's other certifying officer(s) and I have disclosed to the registrant's auditors
 and the audit committee of the registrant's board of directors (or persons performing the
 equivalent functions):

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. All
 significant deficiencies and material weaknesses in the design or operation of internal control
 over financial reporting which are reasonably likely to adversely affect the registrant's
 ability to record, process, summarize, and report financial information; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. Any
 fraud, whether or not material, that involves management or other employees who have a significant
 role in the registrant's internal control over financial reporting.

---

| | |
|:---|:---|
| Date: 9/2/2025 | /s/ Richard Gleason |
|  | Richard Gleason |
|  | Principal Financial Officer |

---

## Exhibit 99.906

**CERTIFICATION** [Exhibit 99.906 CERT]

Brian Curely, Principal Executive Officer, and Richard Gleason, Principal Financial Officer of Northern Lights Fund Trust III (the "Registrant"), each certify to the best of his/her knowledge that:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. The Registrant's periodic report on Form N-CSR for the period ended June 30, 2025, (the "Form N-CSR") fully complies with the requirements of Section 13(a) or 15(d), as applicable, of the Securities Exchange Act of 1934, and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant.

---

| | | | |
|:---|:---|:---|:---|
| Principal Executive Officer | Principal Executive Officer | Principal Financial Officer | Principal Financial Officer |
| Northern Lights Fund Trust III | Northern Lights Fund Trust III | Northern Lights Fund Trust III | Northern Lights Fund Trust III |
| /s/ Brian Curley | /s/ Brian Curley | /s/ Richard Gleason | /s/ Richard Gleason |
| Brian Curley | Brian Curley | Richard Gleason | Richard Gleason |
| Date: | 9/2/2025 | Date: | 9/2/2025 |

---

This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission.

## Ex-99.Code

**aTTACHMENT 12.B**

**Northern Lights Fund Trust III**

**CODE OF ETHICS**

Northern Lights Fund Trust III (the "Trust") and each of its series (the "Funds") has adopted this Code of Ethics (the "Code") in order to set forth guidelines and procedures that promote ethical practices and conduct by all of its Access Persons and to ensure that all Access Persons comply with the federal securities laws. Although this Code contains a number of specific standards and policies, there are four key principles embodied throughout the Code.

**The interests of the Funds must always be paramount**

Access Persons have a legal, fiduciary duty to place the interests of the Funds ahead of their own. In any decision relating to their personal investments, Access Persons must scrupulously avoid serving their own interests ahead of those of Trust.

**Access Persons may not take advantage of their relationship with the Funds**

Access Persons should avoid any situation (unusual investment opportunities, perquisites and accepting gifts of more than token value from persons seeking to do business with the Funds) that might compromise, or call into question, the exercise of their fully independent judgment in the interests of the Funds.

**All Personal Securities Transactions should avoid any actual, potential, or apparent conflicts of interest**

Although all Personal Securities Transactions by Access Persons must be conducted in a manner consistent with this Code, the Code itself is based on the premise that Access Persons owe a fiduciary duty to the Funds, and should avoid any activity that creates an actual, potential, or apparent conflict of interest. This includes executing transactions through or for the benefit of a third party when the transaction is not in keeping with the general principles of this Code.

Access Persons must adhere to these general principles as well as comply with the specific provisions of this Code. Technical compliance with the Code and its procedures will not automatically prevent scrutiny of trades that show a pattern of abuse of an individual's fiduciary duty to the Funds.

**Access Persons must comply with all applicable laws**

In both work-related and personal activities, Access Persons must comply with all applicable laws, including the federal securities laws.

**Any violations of this Code should be reported promptly to the Chief Compliance Officer or his designee. Failure to do so will be deemed a violation of the Code.**

**DEFINITIONS**

**"Access Person"** shall have the same meaning as set forth in Rule 17j-1 under the Investment Company Act of 1940, as amended (the "1940 Act") and shall include:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1. all officers and trustees (or persons occupying a similar status or performing a similar function)
of the Funds;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2. all officers and trustees (or persons occupying a similar status or performing a similar function)
of an Adviser with respect to its corresponding series of the Trust

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3. any employee of the Trust or the Advisers (or of any company controlling or controlled by or under
common control with the Trust or the Advisers) who, in connection with his or her regular functions or duties, makes, participates
in, or obtains information regarding the purchase or sale of Covered Securities by the Funds, or whose functions relate to the
making of any recommendations with respect to the purchase or sale; and

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;4. any other natural person controlling, controlled by or under common control with the Trust or the
Advisers who obtains information concerning recommendations made to the Funds with regard to the purchase or sale of Covered Securities
by the Funds.

**"Beneficial Ownership"** means in general and subject to the specific provisions of Rule 16a-1(a)(2) under the Securities Exchange Act of 1934, as amended, having or sharing, directly or indirectly, through any contract arrangement, understanding, relationship, or otherwise, a direct or indirect "pecuniary interest" in the security.

**"Chief Compliance Officer"** means the Code of Ethics Compliance Officer of the Trust with respect to Trustees and officers of the Trust, or the CCO of the Advisers with respect to Advisers personnel.

**"Code"** means this Code of Ethics.

**"Covered Security"** means any Security, except (i) direct obligations of the U.S. Government, (ii) bankers' acceptances, bank certificates of deposit, commercial paper and high quality short-term debt instruments, including repurchase agreements, and (iii) shares issued by open-end mutual Funds, except funds services by Gemini, NLCS, or NLD.

"**Decision Making Access Person"** means any Access Person who, in connection with his or her regular functions or duties, makes or participates in or obtains information regarding recommendations on the purchase or sale of a security by the Funds, or whose functions relate to the making of any recommendations with respect to such purchases or sales. Decision Makers typically are Adviser personnel.

**"Funds"** means series of the Trust.

**"Immediate family"** means an individual's spouse, child, stepchild, grandchild, parent, stepparent, grandparent, siblings, mother-in-law, father-in-law, son-in-law, daughter-in-law, brother-in-law, or sister-in-law and should include adoptive relationships. For purposes of determining whether an Access Person has an "indirect pecuniary interest" in securities, only ownership by "immediate family" members sharing the same household as the Access Person will be presumed to be an "indirect pecuniary interest" of the Access Person, absent special circumstances.

**"Independent Trustees"** means those Trustees of the Trust that would not be deemed an "interested person" of the Trust, as defined in Section 2(a)(19)(A) of the 1940 Act.

**"Indirect Pecuniary Interest"** includes, but is not limited to: (a) securities held by members of the person's Immediate Family sharing the same household (which ownership interest may be rebutted); (b) a

general partner's proportionate interest in Fund securities held by a general or limited partnership; (c) a person's right to dividends that is separated or separable from the underlying securities (otherwise, a right to dividends alone will not constitute a pecuniary interest in securities); (d) a person's interest in securities held by a Trust; (e) a person's right to acquire securities through the exercise or conversion of any derivative security, whether or not presently exercisable; and (f) a performance-related fee, other than an asset based fee, received by any broker, dealer, bank, insurance company, investment company, investment manager, Trustee, or person or entity performing a similar function, with certain exceptions.

**"Pecuniary Interest"** means the opportunity, directly or indirectly, to profit or share in any profit derived from a transaction in securities.

**"Personal Securities Transaction"** means any transaction in a Covered Security in which an Access Person has a direct or indirect Pecuniary Interest.

**"Purchase or Sale of a Security"** includes the writing of an option to purchase or sell a Security. A Security shall be deemed "being considered for Purchase or Sale" for the Trusts when a recommendation to purchase or sell has been made and communicated by a Decision Making Access Person, and, with respect to the person making the recommendation, when such person seriously considers making such a recommendation. These recommendations are placed on the "Restricted List" until they are no longer being considered for Purchase or Sale, or until the Security has been purchased or sold.

**"Restricted List"** means the list of securities maintained by the Chief Compliance Officer in which trading by Access Persons is generally prohibited.

**"Security"** means any note, stock, treasury stock, bond, debenture, evidence of indebtedness, certificate of interest or participation in any profit-sharing agreement, collateral-Trust certificate, pre-organization certificate or subscription, transferable share, investment contract, voting-Trusts certificate, certificate of deposit for a security, fractional undivided interest in oil, gas, or other mineral rights, or, in general, an interest or instrument commonly known as "security", or any certificate or interest or participation in temporary or interim certificate for, receipt for, guarantee of, or warrant or right to subscribe to or purchase (including options) any of the foregoing.

**"Advisers"** means the Advisers to the Trust.

**"Trusts"** mean Northern Lights Fund Trust and the Northern Lights Variable Trust.

**PROHIBITED ACTIONS AND ACTIVITIES**

&nbsp;&nbsp;&nbsp;&nbsp;A. No Access Person shall purchase or sell directly or indirectly, any
Covered Security in which he or she has, or by reason of such transaction acquires, any direct or indirect beneficial ownership
and which he or she knows or should have known at the time of such purchase or sale;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(1) is being considered for purchase or sale by a Fund, or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(2) is being purchased or sold by a Fund.

&nbsp;&nbsp;&nbsp;&nbsp;B. Decision-Making Access Persons may not participate in any initial
public offering of Covered Securities in any account over which they exercise Beneficial Ownership. All Access Persons must obtain
prior written authorization from the Chief Compliance Officer or his designee prior to such participation;

&nbsp;&nbsp;&nbsp;&nbsp;C. No Access Person may purchase a Covered Security in which by reason
of such transaction they acquire Beneficial Ownership in a private placement of a Security, without prior written authorization
of the acquisition by the Chief Compliance Officer or his designee;

&nbsp;&nbsp;&nbsp;&nbsp;D. Access Persons may not accept any fee, commission, gift, or services,
other than de minimus gifts, from any single person or entity that does business with or on behalf of the Trusts;

&nbsp;&nbsp;&nbsp;&nbsp;E. Decision-Making Access Persons may not serve on the board of directors
of a publicly traded company without prior authorization from the Chief Compliance Officer or his designee based upon a determination
that such service would be consistent with the interests of the Trust. If such service is authorized, procedures will then be put
in place to isolate such Decision-Making Access Persons serving as directors of outside entities from those making investment decisions
on behalf of the Trust.

Advanced notice should be given so that the Trust or Advisers may take such action concerning the conflict as deemed appropriate by the Chief Compliance Officer or his designee.

&nbsp;&nbsp;&nbsp;&nbsp;F. Decision-Making Access Persons may execute a Personal Securities
Transaction involving a Covered Security without pre-authorization of the Chief Compliance Officer or such persons who may be designated
by the Chief Compliance Officer from time to time, provided it is permitted by the Adviser's Code of Ethics. The Chief Compliance
Officer or his designee may restrict purchases of Covered Securities pursuant to the Adviser's Code of Ethics.

&nbsp;&nbsp;&nbsp;&nbsp;G. It shall be a violation of this Code for any Access Person, in connection
with the purchase or sale, directly or indirectly, of any Covered Security held or to be acquired by a Fund:

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;a. to employ any device, scheme or artifice to defraud the Trust;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;b. to make to the Trust any untrue statement of a material fact or to
omit to state to the Trust a material fact necessary in order to make the statements made, in light of the circumstances under
which they are made, not misleading;

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;c. to engage in any act, practice or course of business that operates
or would operate as a fraud or deceit upon the Trust; or

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;d. to engage in any manipulative practice with respect to the Trust.

EXEMPTED TRANSACTIONS

The provisions described above under the heading Prohibited Actions and Activities and the preclearance procedures under the heading Preclearance of Personal Securities Transactions do not apply to:

· Purchases or Sales of Securities effected in any account in which
an Access Person has no Beneficial Ownership;

· Purchases or Sales of Securities which are non-volitional on the
part the Access Person (for example, the receipt of stock dividends);

· Purchase of Securities made as part of automatic dividend reinvestment
plans;

· Purchases of Securities made as part of an employee benefit plan
involving the periodic purchase of company stock or mutual Funds; and

· Purchases of Securities effected upon the exercise of rights issued
by an issuer pro rata to all holders of a class of its Securities, to the extent such rights were acquired from such issuer, and
sale of such rights so acquired.

**PRECLEARANCE OF PERSONAL SECURITIES TRANSACTIONS**

All Decision-Making Access Persons wishing to engage in a Personal Securities Transaction involving, as defined in the Securities Act of 1933, an Initial Public Offering (IPO) or a Limited Offering, must obtain prior authorization of any such Personal Securities Transaction from the Chief Compliance Officer or such person or persons that the Chief Compliance Officer may from time to time designate to make such authorizations. Personal Securities Transactions by the Chief Compliance Officer involving an IPO or Limited Offering, shall require prior authorization from the President or Chief Executive Officer of the Trust (unless such person is also the Chief Compliance Officer) or their designee, who shall perform the review and approval functions relating to reports and trading by the Chief Compliance Officer. The Trust shall adopt the appropriate forms and procedures for implementing this Code of Ethics.

Any authorization so provided is effective until the close of business on the fifth trading day after the authorization is granted. In the event that an order for the Personal Securities Transaction involving an IPO or Limited Offering, is not placed within that time period, a new authorization must be obtained. If the order for the transaction is placed but not executed within that time period, no new authorization is required unless the person placing the order originally amends the order in any manner. Authorization for "good until canceled" orders is effective unless the order conflicts with a Trusts order.

If a Decision-Making Access Person wishing to effect a Personal Securities Transaction learns, while the order is pending, that the same Security is being considered for Purchase or Sale by a Fund, he or she should consult with the Chief Compliance Officer or his or her designee.

**REPORTING AND MONITORING**

The Chief Compliance Officer or such person or persons that the Chief Compliance Officer may from time to time designate shall monitor all personal trading activity of all Access Persons pursuant to the procedures established under this Code. An Access Person of either Trust who is also an access person of the Trust's principal underwriter or their affiliates or an Access Person of a Fund's Adviser or Sub-Adviser may submit reports required by this Section on forms prescribed by the Code of Ethics of such principal underwriter, Adviser, or Sub-Adviser <u>provided</u> that such forms comply with the requirements of Rule 17j-1(d)(1) of the 1940 Act.

**Disclosure of Personal Brokerage Accounts**

Within ten days of the commencement of employment or at the commencement of a relationship with the Trust, all Access Persons, except Independent Trustees, are required to submit to the Chief Compliance Officer or his designee a report stating the names and account numbers of all of their personal brokerage accounts, brokerage accounts of members of their Immediate Family, and any brokerage accounts which they control or in which they or an Immediate Family member has Beneficial Ownership. Such report must contain the date on which it is submitted and the information in the report must be current as of a

date no more than 45 days prior to that date. In addition, if a new brokerage account is opened during the course of the year, the Chief Compliance Officer or his designee must be notified immediately.

The information required by the above paragraph must be provided to the Chief Compliance Officer or his designee on an annual basis, and the report of such should be submitted with the annual holdings reports described below.

Each of these accounts is required to furnish duplicate confirmations and statements to the Chief Compliance Officer or his designee. These statements and confirms for each series of the Trusts may be sent to the Advisers.

Initial Holdings Report

Within ten days of becoming an Access Person (and with information that is current as of a date no more than 45 days prior to the date that the report was submitted), each Access Person, except Independent Trustees must submit a holdings report that must contain, at a minimum, the title and type of Security, and as applicable, the exchange ticker symbol or CUSIP number, number of shares, and principal amount of each Covered Security in which the Access Person has any direct or indirect Beneficial Ownership. This report must state the date on which it is submitted.

Annual Holdings Reports

All Access Persons, except Independent Trustees, must supply the information that is required in the initial holdings report on an annual basis, and such information must be current as of a date no more than 45 days prior to the date that the report was submitted. Such reports must state the date on which they are submitted.

QUARTERLY TRANSACTION REPORTS

All Access Persons shall report to the Chief Compliance Officer or his designee the following information with respect to transactions in a Covered Security in which such person has, or by reason of such transaction acquires, any direct or indirect Beneficial Ownership in the Covered Security:

· The date of the transaction, the title, and as applicable the exchange
ticker symbol or CUSIP number, interest rate and maturity date, number of shares, and the principal amount of each Covered Security;

· The nature of the transaction (i.e., purchase, sale or any other
type of acquisition or disposition);

· The price of the Covered Security at which the transaction was effected;
and

· The name of the broker, dealer, or bank with or through whom the
transaction was effected.

· The date the Access Person Submits the Report.

Reports pursuant to this section of this Code shall be made no later than 30 days after the end of the calendar quarter in which the transaction to which the report relates was effected, and shall include a certification that the reporting person has reported all Personal Securities Transactions required to be disclosed or reported pursuant to the requirements of this Code. Confirmations and Brokerage Statements sent directly to each Adviser's address noted above is an acceptable form of a quarterly transaction report.

An Independent Trustee need only make a quarterly transaction report if he or she, at the time of the transaction, knew, or in the ordinary course of fulfilling his or her official duties as a Trustee, should have known that during the 15-day period immediately preceding or following the date of the transaction by

the Independent Trustee, the Covered Security was purchased or sold by a Fund or was considered for purchase or sale by a Fund.

**ENFORCEMENTS AND PENALTIES**

The Chief Compliance Officer or his designee shall review the transaction information supplied by Access Persons. If a transaction appears to be a violation of this Code, the transaction will be reported to the Trusts Board of Trustees.

Upon being informed of a violation of this Code, the Trusts Board of Trustees may impose sanctions as it deems appropriate, including but not limited to, a letter of censure or suspension, termination of the employment of the violator, or a request for disgorgement of any profits received from a securities transaction effected in violation of this Code. The Trust shall impose sanctions in accordance with the principle that no Access Person may profit at the expense of its clients. Any losses are the responsibility of the violator. Any profits realized on personal securities transactions in violation of the Code must be disgorged in a manner directed by the Board of Trustees.

At least annually, the Chief Compliance Officer a shall issue a report on Personal Securities Transactions by Access Person. The report submitted to the board shall:

· Summarize existing procedures concerning Personal Securities investing
and any changes in the procedures made during the prior year;

· Identify any violations of this Code and any significant remedial
action taken during the prior year; and;

· Identify any recommended changes in existing restrictions or procedures
based upon the experience under the Code, evolving industry practices or developments in applicable laws and regulations.

**Acknowledgement**

The Trust must provide all Access Persons with a copy of this Code. Upon receipt of this Code, all Access Persons must do the following:

All new Access Persons must read the Code, complete all relevant forms supplied by the Chief Compliance Officer or his designee (including a written acknowledgement of their receipt of the Code), and schedule a meeting with the Chief Compliance Officer or his designee to discuss the provisions herein within two calendar weeks of employment.

Existing Access Persons who did not receive this Code upon hire, for whatever reason, must read the Code, complete all relevant forms supplied by the Chief Compliance Officer or his designee (including a written acknowledgement of their receipt of the Code), and schedule a meeting with the Chief Compliance Officer or his designee to discuss the provisions herein at the earliest possible time, but no later than the end of the current quarter.

All Access Persons must certify on an annual basis that they have read and understood the Code.