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Form N-CSRS Exchange Listed Funds For: Sep 30

December 1, 2022 11:04 AM EST

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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act File Number 811-22700

 

Exchange Listed Funds Trust

 

(Exact name of registrant as specified in charter)

 

10900 Hefner Pointe Drive

Suite 400

Oklahoma City, Oklahoma 73120

 

(Address of principal executive offices) (Zip Code)

 

The Bank of New York Mellon

240 Greenwich Street

New York, New York 10286

 

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (405) 778-8377

 

Date of fiscal year end: March 31

 

Date of reporting period: September 30, 2022

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

 

ITEM 1: REPORTS TO STOCKHOLDERS.

 

(a)Insert a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

 

 

EXCHANGE LISTED FUNDS TRUST

ETC Gavekal Asia Pacific Government Bond ETF (AGOV)

Semi-Annual Report

September 30, 2022

(Unaudited)

 

Exchange Listed Funds Trust

TABLE OF CONTENTS

 

September 30, 2022  

(Unaudited)  

ETC Gavekal Asia Pacific Government Bond ETF

   

Schedule of Investments

 

1

Summary of Investments

 

3

Statement of Assets and Liabilities

 

4

Statement of Operations

 

5

Statements of Changes in Net Assets

 

6

Financial Highlights

 

7

Notes to Financial Statements

 

8

Disclosure of Fund Expenses

 

17

Board Consideration of Approval of Advisory and Sub-Advisory Agreements

 

18

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

There are risks involved with investing, including possible loss of principal, and there is no guarantee the Fund will achieve its investment objective. The Fund is classified as a non-diversified investment company under the Investment Company Act of 1940 (the “1940 Act”). Concentration in a particular industry or sector will subject the Fund to loss due to adverse occurrences that may affect that industry or sector.

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

Distributor: Foreside Fund Services, LLC

i

ETC Gavekal Asia Pacific Government Bond ETF

SCHEDULE OF INVESTMENTS

 

September 30, 2022  

(Unaudited)  

     

Principal
Amount

 

Value

FOREIGN BONDS — 97.4%

     

 

 

AUSTRALIA — 4.6%

         

 

 

Australia Government Bond, Series 163,
1.00%, 11/21/2031

 

AUD

 

4,300,000

 

$

2,156,590

CHINA — 13.2%

         

 

 

China Government Bond, Series INBK,
3.72%, 4/12/2051

 

CNY

 

40,000,000

 

 

6,153,266

HONG KONG — 4.5%

         

 

 

Hong Kong Government Bond,
2.24%, 8/27/2029

 

HKD

 

18,000,000

 

 

2,108,249

INDIA — 8.7%

         

 

 

India Government Bond, 6.54%,
1/17/2032

 

INR

 

350,000,000

 

 

4,055,377

INDONESIA — 13.3%

         

 

 

Indonesia Treasury Bond
Series FR87, 6.50%,
2/15/2031

 

IDR

 

80,000,000,000

 

 

4,978,834

Series FR91, 6.38%,
4/15/2032

 

IDR

 

20,000,000,000

 

 

1,224,174

           

 

6,203,008

JAPAN — 4.6%

         

 

 

Japan Government Ten Year Bond, Series 363, 0.10%, 6/20/2031

 

JPY

 

320,000,000

 

 

2,175,404

MALAYSIA — 6.8%

         

 

 

Malaysia Government Bond, Series 0220,
2.63%, 4/15/2031

 

MYR

 

17,000,000

 

 

3,178,319

NEW ZEALAND — 4.5%

         

 

 

New Zealand Government Bond, Series 0532, 2.00%, 5/15/2032

 

NZD

 

4,500,000

 

 

2,087,034

PHILIPPINES — 4.8%

         

 

 

Philippine Government Bond
Series 7-64, 3.63%,
4/22/2028

 

PHP

 

100,000,000

 

 

1,476,909

Series 1064, 6.88%,
1/10/2029

 

PHP

 

45,000,000

 

 

773,559

           

 

2,250,468

     

Principal
Amount

 

Value

FOREIGN BONDS (Continued)

     

 

 

RUSSIA — 6.1%

         

 

 

Russian Federal Bond - OFZ,
Series 6228, 7.65%, 4/10/2030
(a)(b)

 

RUB

 

570,000,000

 

$

2,867,485

SINGAPORE — 4.7%

         

 

 

Singapore Government Bond, 1.63%,
7/1/2031

 

SGD

 

3,640,000

 

 

2,182,163

SUPRANATIONAL — 17.2%

     

 

 

Asian Development Bank, 3.20%,
3/11/2026

 

CNY

 

10,000,000

 

 

1,452,603

Asian Development Bank, Series EMTN,
2.72%, 1/16/2023

 

CNY

 

4,000,000

 

 

563,532

Asian Infrastructure Investment Bank (The), Series GMTN,
2.50%, 3/24/2025

 

CNY

 

11,000,000

 

 

1,525,011

European Bank for Reconstruction & Development,
Series GMTN, 2.20%,
12/6/2023

 

CNY

 

8,000,000

 

 

1,127,285

European Investment Bank, Series EMTN,
2.70%, 4/22/2024

 

CNY

 

7,000,000

 

 

984,217

International Bank for Reconstruction &
Development, Series GDIF, 2.00%, 2/18/2026

 

CNY

 

7,000,000

 

 

954,682

New Development Bank (The),
3.00%, 7/7/2025

 

CNY

 

10,000,000

 

 

1,423,675

           

 

8,031,005

THAILAND — 4.4%

         

 

 

Thailand Government Bond, 2.00%,
12/17/2031

 

THB

 

85,000,000

 

 

2,064,728

TOTAL FOREIGN BONDS

         

 

 

(Cost $57,831,905)

         

 

45,513,096

1

ETC Gavekal Asia Pacific Government Bond ETF

SCHEDULE OF INVESTMENTS (Concluded)

 

September 30, 2022  

(Unaudited)  

     

Number of
Shares

 

Value

SHORT-TERM INVESTMENTS — 1.7%

 

 

 

Invesco Government & Agency Portfolio - Institutional Class, 2.88%(c)

     

777,014

 

$

777,014

TOTAL SHORT TERM INVESTMENTS

         

 

 

(Cost $777,014)

         

 

777,014

TOTAL INVESTMENTS — 99.1%

     

 

 

(Cost $58,608,919)

         

 

46,290,110

Other Assets in Excess of Liabilities — 0.9%

         

 

429,799

TOTAL NET ASSETS — 100.0%

     

$

46,719,909

(a)  Security is considered illiquid and valued at fair value by the Trust’s Valuation Committee in accordance with procedures approved by, and under the general supervision of, the Trust’s Board of Trustees. The total value of the security is $2,867,485 which represents approximately 6.1% of net assets as of September 30, 2022.

(b)  Level 3 security. The total value of this security is $2,867,485.

(c)  The rate is the annualized seven-day yield at period end.

Currency Abbreviations

AUD

 

:

 

Australian Dollar

CNY

 

:

 

Chinese Yuan

HKD

 

:

 

Hong Kong Dollar

IDR

 

:

 

Indonesian Rupiah

INR

 

:

 

Indian Rupee

JPY

 

:

 

Japanese Yen

MYR

 

:

 

Malaysian Ringgit

NZD

 

:

 

New Zealand Dollar

PHP

 

:

 

Philippine peso

RUB

 

:

 

Russian Ruble

SGD

 

:

 

Singapore Dollar

THB

 

:

 

Thai Baht

2

ETC Gavekal Asia Pacific Government Bond ETF

SUMMARY OF INVESTMENTS

 

September 30, 2022  

(Unaudited)  

Security Type/Industry

 

Percent of
Total Net
Assets

Foreign Bonds

   

 

Sovereign

 

80.2

%

Supranational

 

17.2

%

Total Foreign Bonds

 

97.4

%

Short-Term Investments

 

1.7

%

Total Investments

 

99.1

%

Other Assets in Excess of Liabilities

 

0.9

%

Total Net Assets

 

100.0

%

3

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF ASSETS AND LIABILITIES

 

September 30, 2022  

(Unaudited)  

 

 

ETC Gavekal
Asia Pacific
Government
Bond ETF

Assets:

 

 

 

 

Investments, at value

 

$

46,290,110

 

Foreign currency, at value

 

 

5,826

 

Interest receivable

 

 

443,024

 

Dividends receivable

 

 

603

 

Foreign tax reclaim

 

 

95

 

Total Assets

 

 

46,739,658

 

   

 

 

 

Liabilities:

 

 

 

 

Advisory fee payable

 

 

19,749

 

Total Liabilities

 

 

19,749

 

   

 

 

 

Net Assets

 

$

46,719,909

 

   

 

 

 

Net Assets Consist of:

 

 

 

 

Paid-in capital

 

$

58,650,854

 

Distributable earnings (loss)

 

 

(11,930,945

)

Net Assets

 

$

46,719,909

 

   

 

 

 

Net Assets

 

$

46,719,909

 

Shares of Beneficial Interest Outstanding
(unlimited number of shares authorized, no par value)

 

 

595,000

 

Net Asset Value, Offering and Redemption Price Per Share

 

$

78.52

 

Investments, at cost

 

$

58,608,919

 

Foreign currency, at cost

 

$

5,991

 

4

EXCHANGE LISTED FUNDS TRUST

STATEMENT OF OPERATIONS

 

  

 

ETC Gavekal
Asia Pacific
Government
Bond ETF

   

For the
Six Months
Ended
September 30,
2022
(Unaudited)

Investment Income:

 

 

 

 

Dividends

 

$

2,556

 

Interest*

 

 

554,772

 

Total Investment Income

 

 

557,328

 

   

 

 

 

Expenses:

 

 

 

 

Advisory fees

 

 

120,776

 

Total Expenses

 

 

120,776

 

Net Investment Income (Loss)

 

 

436,552

 

   

 

 

 

Realized and Unrealized Gain (Loss)

 

 

 

 

Net realized gain (loss) from:

 

 

 

 

Investments

 

 

(326,919

)

Foreign currency transactions

 

 

(10,478

)

Net realized gain (loss)

 

 

(337,397

)

Net change in unrealized appreciation (depreciation) on:

 

 

 

 

Investments

 

 

(3,253,632

)

Foreign currency translations

 

 

(14,391

)

Net change in unrealized appreciation (depreciation)

 

 

(3,268,023

)

Net realized and unrealized gain (loss)

 

 

(3,605,420

)

Net Increase (Decrease) in Net Assets Resulting from Operations

 

$

(3,168,868

)

* Net of foreign withholding taxes

 

$

8,281

 

5

EXCHANGE LISTED FUNDS TRUST

STATEMENTS OF CHANGES IN NET ASSETS

 

  

  

 

ETC Gavekal Asia Pacific
Government Bond ETF

   

For the
Six Months
Ended
September 30,
2022
(Unaudited)

 

For the period
July 22,
2021
(1) to
March 31,
2022

From Investment Activities:

 

 

 

 

 

 

 

 

Operations:

 

 

 

 

 

 

 

 

Net investment income (loss)

 

$

436,552

 

 

$

803,689

 

Net realized gain (loss)

 

 

(337,397

)

 

 

(129,815

)

Change in net unrealized appreciation (depreciation)

 

 

(3,268,023

)

 

 

(9,070,764

)

Net Increase (Decrease) in Net Assets Resulting from Operations

 

 

(3,168,868

)

 

 

(8,396,890

)

   

 

 

 

 

 

 

 

Distributions to Shareholders

 

 

 

 

 

(365,187

)

   

 

 

 

 

 

 

 

Capital Transactions:

 

 

 

 

 

 

 

 

Proceeds from shares issued

 

 

 

 

 

58,650,854

 

Cost of shares redeemed

 

 

 

 

 

 

Net Increase (Decrease) in Net Assets Resulting from Capital Share Transactions

 

 

 

 

 

58,650,854

 

   

 

 

 

 

 

 

 

Total Increase (Decrease) in Net Assets

 

 

(3,168,868

)

 

 

49,888,777

 

   

 

 

 

 

 

 

 

Net Assets:

 

 

 

 

 

 

 

 

Beginning of period

 

 

49,888,777

 

 

 

 

End of period

 

$

46,719,909

 

 

$

49,888,777

 

   

 

 

 

 

 

 

 

Change in Shares Outstanding:

 

 

 

 

 

 

 

 

Shares outstanding, beginning of period

 

 

595,000

 

 

 

 

Shares issued

 

 

 

 

 

595,000

 

Shares redeemed

 

 

 

 

 

 

Shares outstanding, end of period

 

 

595,000

 

 

 

595,000

 

(1)   Commencement of operations.

6

EXCHANGE LISTED FUNDS TRUST

FINANCIAL HIGHLIGHTS

 

  

  

ETC Gavekal Asia Pacific Government Bond ETF
Selected Per Share Data

 

For the
Six Months
Ended
September 30,
2022
(Unaudited)

 

For the period
July 22, 2021
(1)
through
March 31,
2022

Net Asset Value, beginning of period

 

$

83.85

 

 

$

100.00

 

Investment Activities

 

 

 

 

 

 

 

 

Net investment income (loss)(2)

 

 

0.73

 

 

 

1.62

 

Net realized and unrealized gain (loss)

 

 

(6.06

)

 

 

(17.02

)

Total from investment activities

 

 

(5.33

)

 

 

(15.40

)

Distributions to shareholders from:

 

 

 

 

 

 

 

 

Net investment income

 

 

 

 

 

(0.75

)

Total distributions

 

 

 

 

 

(0.75

)

Net Asset Value, end of period

 

$

78.52

 

 

$

83.85

 

Total Return (%)

 

 

(6.35

)(3)

 

 

(15.52

)(3)

Total Return at Market Price (%)

 

 

(6.75

)(3)

 

 

(16.18

)(3)

Ratios to Average Net Assets

 

 

 

 

 

 

 

 

Expenses (%)

 

 

0.50

(4)

 

 

0.50

(4)

Net investment income (loss) (%)

 

 

1.81

(4)

 

 

2.46

(4)

Supplemental Data

 

 

 

 

 

 

 

 

Net Assets at end of period (000’s)

 

$

46,720

 

 

$

49,889

 

Portfolio turnover (%)(5)

 

 

7

(3)

 

 

20

(3)

(1)   Commencement of operations.

(2)   Per share numbers have been calculated using the average shares method.

(3)   Not annualized for periods less than one year.

(4)   Annualized for periods less than one year.

(5)   Excludes the impact of in-kind transactions related to the processing of capital share transactions in Creation Units.

7

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS

 

September 30, 2022  

(Unaudited)  

Note 1 – Organization

Exchange Listed Funds Trust (the “Trust”) was organized on April 4, 2012 as a Delaware statutory trust and is registered with the Securities and Exchange Commission (“SEC”) under the 1940 Act as an open-end management investment company. The Agreement and Declaration of Trust permits the Trust to issue an unlimited number of shares of beneficial interest (”Shares”) in one or more series representing interests in separate portfolios of securities. The Trust has registered its Shares in multiple separate series. The assets of each series in the Trust are segregated and a shareholder’s interest is limited to the series in which Shares are held. The financial statements herein are for the ETC Gavekal Asia Pacific Government Bond ETF* (the “Fund”).

The Fund is an actively managed exchange-traded fund (“ETF”). Unlike index ETFs, actively managed ETFs do not seek to track the performance of a specified index. Instead, the Fund uses an active investment strategy in seeking to meet its investment objective.

The Fund employs a “multi-manager” approach whereby portions of the Fund’s assets are allocated among sub-advisers. Exchange Traded Concepts, LLC (the “Adviser”) is responsible for the management of the Fund and supervision of the Fund’s sub-advisers, Gavekal Capital Limited (“Gavekal”) and System 2 Advisors, L.P. (“S2”) (each, a “Sub-Adviser,” and together, the “Sub-Advisers”). Each Sub-Adviser manages its allocated portion of the Fund’s assets to correspond with its distinct investment style and strategy in a manner consistent with the Fund’s investment objective, strategies, and restrictions.

The Fund’s investment objective is to seek to provide absolute positive returns, which the Fund seeks to achieve by investing in local currency bonds issued by national governments (i.e., sovereign bonds) and instrumentalities or political sub-divisions in the Asia-Pacific region and in supranational bonds. The Fund commenced operations on July 22, 2021.

Under the Trust’s organizational documents, its officers and Board of Trustees (the “Board”) are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust may enter into contracts with vendors and others that provide for general indemnifications. The Trust’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Trust.

*On February 7, 2022, the Fund changed its name from Gavekal Asia Pacific Government Bond ETF to ETC Gavekal Asia Pacific Government Bond ETF.

Note 2 – Basis of Presentation and Significant Accounting Policies

The following is a summary of the significant accounting policies followed by the Trust in the preparation of the financial statements. These policies are in conformity with generally accepted accounting principles in the United States of America (“GAAP”). The Trust is an investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies.” The preparation of financial statements in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and income and expenses during the reporting period. Management believes the estimates and security valuations are appropriate; however, actual results may differ from those estimates, and the security valuations reflected in the financial statements may differ from the value the Fund ultimately realizes upon sale of the securities.

(a) Valuation of Investments

The Fund records investments at fair value using procedures approved by the Board and are generally valued using market valuations (Market Approach). A market valuation generally means a valuation (i) obtained from an exchange, a pricing service, or a major market maker (or dealer) or (ii) based on a price quotation or other equivalent indication of value supplied by an exchange, a pricing service, or a major market maker (or dealer). A price obtained from a pricing service based on such pricing service’s valuation matrix may be considered a market valuation. Any assets or liabilities denominated in currencies other than the U.S. dollar are converted into U.S. dollars at the current market rates on the date of valuation as quoted by one or more sources.

In the event that current market valuations are not readily available or such valuations do not reflect current fair market value, the Trust’s procedures require the Adviser’s Valuation Committee, in accordance with the Trust’s Board-approved valuation guidelines, to determine a security’s fair value. In determining such value, the Valuation Committee may consider, among other things,

8

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

(i) price comparisons among multiple sources, (ii) a review of corporate actions and news events, and (iii) a review of relevant financial indicators (e.g., movement in interest rates or market indices). Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be realized upon the sale of the security. With respect to securities that are primarily listed on foreign exchanges, the value of the Fund’s portfolio securities may change on days when the investors will not be able to purchase or sell their Shares.

The Fund discloses the fair value of its investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Fund (observable inputs) and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:

      Level 1 – Quoted prices in active markets for identical assets.

      Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

      Level 3 – Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

Pursuant to the valuation procedures noted previously, open-end investment companies are valued at their NAV each business day and are categorized as Level 1, Foreign Government Bonds are valued at prices supplied by independent pricing services approved by the Valuation Committee. Such services may use various pricing techniques which take into account appropriate factors such as yield, quality, coupon rate, maturity, type of issue, trading characteristics and other data, as well as broker quotes. If the pricing services are unable to provide valuations, securities are valued at the mean between the bid and ask quotations or evaluated prices, as applicable, obtained from broker dealers. These securities are generally categorized as Level 2.

The following is a summary of the valuations as of September 30, 2022 for the Fund based upon the three levels defined above:

ETC Gavekal Asia Pacific Government Bond ETF

 

Level 1

 

Level 2

 

Level 3

 

Total

Investments

 

 

   

 

   

 

   

 

 

Foreign Bonds(a)

 

$

 

$

42,645,611

 

$

2,867,485

 

$

45,513,096

Short-Term Investments

 

 

777,014

 

 

 

 

 

 

777,014

Total

 

$

777,014

 

$

42,645,611

 

$

2,867,485

 

$

46,290,110

(a)   See Schedule of Investments for additional detailed categorizations.

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:

 

ETC Gavekal
Asia Pacific
Government
Bond ETF

Beginning balance as of March 31, 2022

 

$

519,126

Transfers into Level 3 during the period

 

 

Transfers out of Level 3 during the period

 

 

Total realized gain (loss)

 

 

Total change in unrealized gain/(loss)

 

 

2,348,359

Purchases

 

 

Sales

 

 

Ending balance as of September 30, 2022

 

$

2,867,485

The Level 3 Investments are transferred at the ending value for disclosure purposes.

9

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

Quantitative Disclosure About Significant Unobservable Inputs

Asset Class

 

Fair Value at
9
/30/2022

 

Valuation
Technique

 

Unobservable
Input

 

Value/Range
(Average)

Foreign Bonds

 

$

2,867,485

 

Average of Market Information

 

Evaluated Price

 

$

7.50 to $33.13 ($17.30)

Qualitative Disclosure About Unobservable Inputs

Significant unobservable inputs used by the Pricing Committee in the fair value measurement of the Fund’s Russian Government Bond include the last traded price on the Exchange adjusted for suspended trading, cash flow projections, currency exposure, exchange rates, and the value of the investment in an illiquid market.

A significant change between last traded price, and the price of a security once it resumes trading on the securities exchange could result in a material change in the fair value measurement.

(b) Investment Transactions and Related Income

For financial reporting purposes, investment transactions are reported on trade date. However, for daily NAV determination, portfolio securities transactions are reflected no later than in the first calculation on the first business day following trade date. Dividend income is recorded on the ex-dividend date. Interest income is recognized on an accrual basis and includes, where applicable, the amortization of premium or accretion of discount, using the effective yield method. When a security has been identified as defaulted, the income accrued for that security is written off and the security stops accruing interest or amortization/accretion. Gains or losses realized on sales of securities are determined using the specific identification method by comparing the identified cost of the security lot sold with the net sales proceeds. Dividend and Interest Income on the Statement of Operations is shown net of any foreign taxes withheld on income from foreign securities, which are provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations.

(c) Foreign Currency Transactions

The accounting records of the Fund are maintained in U.S. dollars. Financial instruments and other assets and liabilities of the Fund denominated in a foreign currency, if any, are translated into U.S. dollars at current exchange rates. Purchases and sales of financial instruments, income receipts and expense payments are translated into U.S. dollars at the exchange rate on the date of the transaction. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates from those resulting from changes in values to financial instruments. Such fluctuations are included with the net realized and unrealized gains or losses from investments. Realized foreign exchange gains or losses arise from transactions in financial instruments and foreign currencies, currency exchange fluctuations between the trade and settlement date of such transactions, and the difference between the amount of assets and liabilities recorded and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities, including financial instruments, resulting from changes in currency exchange rates. The Fund may be subject to foreign taxes related to foreign income received, capital gains on the sale of securities and certain foreign currency transactions (a portion of which may be reclaimable). All foreign taxes are recorded in accordance with the applicable regulations and rates that exist in the foreign jurisdictions in which the Fund invests.

(d) Federal Income Tax

It is the policy of the Fund to continue to qualify each year as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986 (the “Code”), and to distribute substantially all of its net investment income and capital gains, if any, to its shareholders. Therefore, no federal income tax provision is required as long as the Fund qualifies as a regulated investment company.

10

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

Management of the Fund has evaluated tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is more-likely-than-not (i.e., greater than 50%) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. In general, tax positions taken in previous tax years remain subject to examination by tax authorities (generally three years for federal income tax purposes). The determination has been made that there are not any uncertain tax positions that would require the Fund to record a tax liability and, therefore, there is no impact to the Fund’s financial statements. The Fund’s policy is to classify interest and penalties associated with underpayment of federal and state income taxes, if any, as income tax expense on its Statement of Operations. As of September 30, 2022, the Fund did not have any interest or penalties associated with the underpayment of any income taxes.

(e) Distributions to Shareholders

The Fund distributes net investment income and capital gains, if any, at least annually. The Fund may make distributions on a more frequent basis for the Fund to comply with the distributions requirement of the Code, in all events in a manner consistent with the provisions of the 1940 Act.

The amount of distributions from net investment income and net realized gains are determined in accordance with federal income tax regulations, which may differ from GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature (e.g., return of capital and distribution reclassifications), such amounts are reclassified within the composition of net assets based on their federal tax basis treatment; temporary differences (e.g., wash sales and straddles) do not require a reclassification.

Note 3 – Transactions with Affiliates and Other Servicing Agreements

(a) Investment Advisory Agreement

The Adviser serves as the investment adviser to the Trust, including the Fund, pursuant to an investment advisory agreement entered into by the Adviser and the Trust, on behalf of the Fund (the “Advisory Agreement”). Under the Advisory Agreement, the Adviser provides investment advisory services to the Fund. The Adviser is responsible for, among other things, overseeing the Sub-Advisers, including regular review of each Sub-Adviser’s performance, trading portfolio securities on behalf of the Fund, and selecting broker-dealers to execute purchase and sale transactions, subject to the oversight of the Board. The Adviser also arranges for transfer agency, custody, fund administration and accounting, and other non-distribution related services necessary for the Fund to operate. The Adviser administers the Fund’s business affairs, provides office facilities and equipment and certain clerical, bookkeeping and administrative services, and provides its officers and employees to serve as officers or Trustees of the Trust.

For the services it provides to the Fund, the Adviser receives a fee, which is calculated daily and paid monthly, at an annual rate of 0.50% of average daily net assets of the Fund.

Under the Advisory Agreement, the Adviser has agreed to pay all expenses of the Fund except for the advisory fee, interest, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution fees and expenses paid by the Trust under any distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (collectively, “Excluded Expenses”). As part of an arrangement between Gavekal and the Adviser, Gavekal has agreed to assume the Adviser’s obligation to pay all expenses of the Fund (except Excluded Expenses) and, to the extent applicable, pay the Adviser a minimum fee.

An interested Trustee and certain officers of the Trust are affiliated with the Adviser and receive no compensation from the Trust for serving as officers and/or Trustee.

11

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

(b) Investment Sub-Advisory Agreements

The Adviser has entered into investment sub-advisory agreements (each, a “Sub-Advisory Agreement”) with respect to the Fund with Gavekal and S2. Under the Sub-Advisory Agreement with Gavekal, Gavekal is responsible for selecting the Fund’s investments in accordance with the Fund’s investment objective, policies and restrictions. Under the Sub-Advisory Agreement with S2, and only with respect to its allocated portion of the Fund’s assets, S2 is responsible for trading portfolio securities and other investment instruments on behalf of the Fund and selecting broker-dealers to execute purchase and sale transactions, subject to the supervision of the Adviser and the Board. The Adviser pays a fee to Gavekal out of the fee the Adviser receives from the Fund, which is calculated daily and paid monthly at an annual rate of 0.35% on up to $1 billion in assets, 0.37% on the next $2 billion in assets, and 0.39% on assets in excess of $3 billion. The Adviser also pays a fee to S2 out of the fee the Adviser receives from the Fund, which is calculated daily and paid monthly at an annual rate of 0.03% of the Fund’s average daily net assets (subject to an annual minimum fee of $15,000).

(c) Distribution Arrangement

Foreside Fund Services, LLC (the “Distributor”), a Delaware limited liability company, is the principal underwriter and distributor of the Fund’s Shares. The Distributor does not maintain any secondary market in Fund’s Shares.

The Trust has adopted a Rule 12b-1 Distribution and Service Plan (the “Distribution and Service Plan”) pursuant to which payments of up to a maximum of 0.25% of a Fund’s average daily net assets may be made to compensate or reimburse financial intermediaries for activities principally intended to result in the sale of the Fund’s Shares. In accordance with the Distribution and Service Plan, the Distributor may enter into agreements with financial intermediaries and dealers relating to distribution and/or marketing services with respect to the Trust.

Currently, no payments are made under the Distribution and Service Plan. Such payments may only be made after approval by the Board. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Trust.

(d) Other Servicing Agreements

The Bank of New York Mellon (“BNY Mellon”) serves as the Fund’s fund accountant, transfer agent, custodian and administrator.

Note 4 – Investment Transactions

Purchases and sales of investments, excluding in-kind transactions and short-term investments, for the period ended September 30, 2022 were as follows:

Fund

 

Purchases

 

Sales

ETC Gavekal Asia Pacific Government Bond ETF

 

$

6,888,901

 

$

3,286,053

Purchases and sales of in-kind transactions for the period ended September 30, 2022 were as follows:

Fund

 

Purchases

 

Sales

ETC Gavekal Asia Pacific Government Bond ETF

 

$

 

$

Note 5 – Capital Share Transactions

Fund Shares are listed and traded on the Exchange each day that the Exchange is open for business (“Business Day”). The Fund’s Shares may only be purchased and sold on the Exchange through a broker-dealer. Because the Fund’s Shares trade at market prices rather than at their NAV, Shares may trade at a price equal to NAV, greater than NAV (premium) or less than NAV (discount).

12

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

The Fund offers and redeems Shares on a continuous basis at NAV only in large blocks of Shares (“Creation Unit”). Except when aggregated in Creation Units, Shares are not redeemable securities of the Fund. Fund Shares may only be purchased or redeemed directly from the Fund by certain financial institutions (“Authorized Participants”). An Authorized Participant is either (i) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation or (ii) a Depository Trust Company (“DTC”) participant and, in each case, must have executed a Participant Agreement with the Distributor. Creation Units are available for purchase and redemption on each Business Day and are offered and redeemed on an in-kind basis, together with the specified cash amount, or for an all cash amount.

To the extent contemplated by a participant agreement, in the event an Authorized Participant has submitted a redemption request in proper form but is unable to transfer all or part of the Shares comprising a Creation Unit to be redeemed by the Distributor, on behalf of the Fund, by the time as set forth in a participant agreement, the Distributor may nonetheless accept the redemption request in reliance on the undertaking by the Authorized Participant to deliver the missing Shares as soon as possible, which undertaking shall be secured by the Authorized Participant’s delivery and maintenance of collateral equal to a percentage of the market value as set forth in the Participant Agreement. A participant agreement may permit the Fund to use such collateral to purchase the missing shares, and could subject an Authorized Participant to liability for any shortfall between the cost of the Fund acquiring such Shares and the value of the collateral.

Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the Shares directly from the Fund. Rather, most retail investors will purchase Shares in the secondary market with the assistance of a broker, which will be subject to customary brokerage commissions or fees.

A purchase (i.e., creation) transaction fee may be imposed for the transfer and other transaction costs associated with the purchase of Creation Units, and investors will be required to pay a creation transaction fee regardless of the number of Creation Units created in the transaction. The Fund may adjust the creation transaction fee from time to time based upon actual experience. In addition, a variable fee may be imposed for cash purchases, non-standard orders, or partial cash purchases of Creation Units. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses, related to the execution of trades resulting from such transaction. The Fund may adjust the non-standard charge from time to time based upon actual experience. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the creation transaction fee and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the deposit securities to the account of the Trust. The Adviser may retain all or a portion of the transaction fee to the extent the Adviser bears the expenses that otherwise would be borne by the Trust in connection with the issuance of a Creation Unit, which the transaction fee is designed to cover. The standard Creation Unit transaction fee for the Fund is $500, regardless of the number of Creation Units created in the transaction.

A redemption transaction fee may be imposed for the transfer and other transaction costs associated with the redemption of Creation Units, and Authorized Participants will be required to pay a redemption transaction fee regardless of the number of Creation Units created in the transaction. The redemption transaction fee is the same no matter how many Creation Units are being redeemed pursuant to any one redemption request. The Fund may adjust the redemption transaction fee from time to time based upon actual experience. In addition, a variable fee, payable to the Fund, may be imposed for cash redemptions, non-standard orders, or partial cash redemptions for the Fund. The variable fee is primarily designed to cover non-standard charges, e.g., brokerage, taxes, foreign exchange, execution, market impact, and other costs and expenses, related to the execution of trades resulting from such transaction. Investors who use the services of an Authorized Participant, broker or other such intermediary may be charged a fee for such services which may include an amount for the redemption transaction fees and non-standard charges. Investors are responsible for the costs of transferring the securities constituting the Fund’s securities to the account of the Trust. The non-standard charges are payable to the Fund as it incurs costs in connection with the redemption of Creation Units, the receipt of the Fund’s securities and the cash redemption amount and other transactions costs. The standard redemption transaction fee for the Fund is $500, regardless of the number of Creation Units redeemed in the transaction.

13

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

Note 6 – Principal Risks

As with any investment, an investor could lose all or part of their investment in the Fund and the Fund’s performance could trail that of other investments. The Fund is subject to the principal risks noted below, any of which may adversely affect the Fund’s NAV, trading price, yield, total return and ability to meet its investment objective. Additional principal risks are disclosed in the Fund’s prospectus. Please refer to the Fund’s prospectus for a complete description of the principal risks of investing in the Fund.

Currency Exchange Rate Risk. Changes in currency exchange rates and the relative value of non-U.S. currencies will affect the value of the Fund’s investment and the value of the shares. Because the Fund’s NAV is determined in U.S. dollars, the Fund’s NAV could decline if the currency of the non-U.S. market in which the Fund invests depreciate against the U.S. dollar, even if the value of the Fund’s holdings, measure in the foreign currency, increases. Currency exchange rates can be very volatile and can change quickly and unpredictably. As a result, the value of an investment in the Fund may change quickly and without warning and Fund may lose money.

Default Risk. Issuers or guarantors of debt instruments may be unable or unwilling to make timely interest and/or principal payments or to otherwise honor its obligations. There is the chance that any of the Fund’s portfolio holdings will have its credit ratings downgraded or will default (fail to make scheduled interest or principal payments), potentially reducing the Fund’s income level and share price.

Fixed Income Securities Risk. Generally, the value of debt securities will change inversely with changes in interest rates. To the extent that interest rates rise, certain underlying obligations may be paid off substantially slower than originally anticipated and the value of those securities may fall sharply. During periods of falling interest rates, the income received by the Fund may decline. If the principal on a debt security is prepaid before expected, the prepayments of principal may have to be reinvested in obligations paying interest at lower rates. Debt securities generally do not trade on a securities exchange making them generally less liquid and more difficult to value than common stock.

Foreign Securities Risk. Investments in non-U.S. securities involve certain risks that may not be present with investments in U.S. securities. For example, investments in non-U.S. securities may be subject to risk of loss due to foreign currency fluctuations or to expropriation, sanctions, nationalization or adverse political or economic developments. Foreign securities may have relatively low market liquidity and decreased publicly available information about issuers. Investments in non-U.S. securities also may be subject to withholding or other taxes and may be subject to additional trading, settlement, custodial, and operational risks. Non-U.S. issuers may also be subject to inconsistent and potentially less stringent accounting, auditing, financial reporting and investor protection standards than U.S. issuers. These and other factors can make investments in the Fund more volatile and potentially less liquid than other types of investments. In addition, where all or a portion of the Fund’s portfolio holdings trade in markets that are closed when the Fund’s market is open, there may be valuation differences that could lead to differences between the Fund’s market price and the value of the Fund’s portfolio holdings.

Government Bond Risk. Investments in government bonds, including sovereign, quasi-sovereign, and supranational bonds, involve special risks not present in corporate bonds. The governmental authority or government entity that controls the repayment of the bond may be unable or unwilling to make interest payments and/or repay the principal on its debt or to otherwise honor its obligations. If an issuer of government bonds defaults on payments of principal and/or interest, the Fund may have limited recourse against the issuer. In the past, certain governments of emerging market countries have declared themselves unable to meet their financial obligations on a timely basis, which has resulted in losses for holders of government bonds. In addition, supranational entities have no taxing authority and are dependent on their members for payments of interest and principal. If one or more members of a supranational entity fails to make necessary contributions, the entity may be unable to pay interest or repay principal on its debt securities. Political changes in principal donor nations may unexpectedly disrupt the finances of supranational entities.

Illiquid Investments Risk. This risk exists when particular Fund investments are difficult to purchase or sell, which can reduce the Fund’s returns because the Fund may be unable to transact at advantageous times or prices.

14

EXCHANGE LISTED FUNDS TRUST

NOTES TO FINANCIAL STATEMENTS (Continued)

 

September 30, 2022  

(Unaudited)  

Market Risk. The market price of a security or instrument could decline, sometimes rapidly or unpredictably, due to general market conditions that are not specifically related to a particular company, such as real or perceived adverse economic or political conditions throughout the world, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. Local, regional, or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, recessions, or other events could have a significant impact on the market generally and on specific securities. The market value of a security may also decline because of factors that affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry.

Non-Diversification Risk. The Fund is a non-diversified investment company under the 1940 Act, meaning that, as compared to a diversified fund, it can invest a greater percentage of its assets in securities issued by or representing a small number of issuers. As a result, the performance of these issuers can have a substantial impact on the Fund’s performance.

Trading Risk. Shares of the Fund may trade on the Exchange above (premium) or below (discount) their NAV. The NAV of shares of the Fund will fluctuate with changes in the market value of the Fund’s holdings. The market prices of the Fund’s shares will fluctuate continuously throughout trading hours based on market supply and demand and may deviate significantly from the value of the Fund’s holdings, particularly in times of market stress, with the result that investors may pay more or receive less than the underlying value of the Fund shares bought or sold. When buying or selling shares in the secondary market, you may incur costs attributable to the difference between the highest price a buyer is willing to pay to purchase shares of the Fund (bid) and the lowest price a seller is willing to accept for shares of the Fund (ask), which is known as the bid-ask spread. In addition, although the Fund’s shares are currently listed on the Exchange, there can be no assurance that an active trading market for shares will develop or be maintained. Trading in Fund shares may be halted due to market conditions or for reasons that, in the view of the Exchange, make trading in shares of the Fund inadvisable. In stressed market conditions, the market for the Fund’s shares may become less liquid in response to deteriorating liquidity in the markets for the Fund’s underlying portfolio holdings. In such a circumstance, the Fund’s shares could trade at a premium or discount to their NAV.

Note 7 – Federal Income Taxes

As of the tax period ended March 31, 2022, the components of Distributable earnings (loss) on a tax basis were as follows:

Fund

 

Undistributed
Ordinary
Income

 

Undistributed
Long-Term
Capital Gains
(Losses)

 

Accumulated
Capital and
Other Losses

 

Unrealized
Appreciation
(Depreciation)
on Investments

 

Distributable
Earnings
(Loss)

ETC Gavekal Asia Pacific Government Bond ETF

 

$

367,263

 

$

 

$

(58,576

)

 

$

(9,070,764

)

 

$

(8,762,077

)

At September 30, 2022, gross unrealized appreciation and depreciation of investments owned by the Fund, based on cost for federal income tax purposes were as follows:

Fund

 

Tax Cost of
Investments

 

Unrealized
Appreciation
on Investments

 

Unrealized
Depreciation
on Investments

 

Net
Unrealized
Appreciation
(Depreciation)
on Investments

ETC Gavekal Asia Pacific Government Bond ETF

 

$

58,608,919

 

$

 

$

(12,318,809

)

 

$

(12,318,809