FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES

Swan Defined Risk Fund

Class A (SDRAX)

Annual Shareholder Report - June 30, 2026

Fund Overview

This annual shareholder report contains important information about Swan Defined Risk Fund for the period of July 1, 2025 to June 30, 2026. You can find additional information about the Fund at https://funds.swanglobalinvestments.com/fund_documents/. 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)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class A	$155	1.45%

How did the Fund perform during the reporting period?

Overview: For the year ended June 30th, 2026 the S&P 500 posted healthy gains of 22.32%. The year was remarkably similar to the previous year ended June 30th, 2025. For most of the 12 months the S&P 500 marched upwards, setting record highs based upon strong corporate earnings and enthusiasm about A.I. However, both periods were interrupted by turmoil driven by policy disruption. In April 2025 it was the tariffs of “Liberation Day”, in February 2026 it was “Operation Epic Fury” and the Iran war. In both cases the markets sold off sharply but recovered quickly. Over this same year ended June 30th, 2026, the Fund's Class A shares had a return of 13.52%. Compared to the S&P 500’s 22.32%, this represents a capture ratio of 61%, on the higher end of expectations for a hedged equity fund during a strong bull market.

Core Equity: The Fund's core equity allocation, which typically comprises approximately 90% of its holdings, is invested in ETFs that track the S&P 500 Index and S&P 500 sectors. This segment of the portfolio returned 21.27% over the past year, performing in line with expectations given the market environment.

Hedge: The Fund hedges its equity exposure through the use of put options. Because put options generally move inversely to the equity market, the hedge allocation is expected to generate negative returns during periods of strong market appreciation, such as when the S&P 500 is reaching new all-time highs. Over the past 12 months, the hedge allocation returned -5.74%, a result consistent with its intended role within the portfolio. The benefits of the hedge were demonstrated during the market volatility surrounding the start of the Iran war. As part of its disciplined risk management process, the Fund re-established its hedge in December 2025 by purchasing put options with an average 7,300 strike price. When the S&P 500 declined below 6,500 in March, these options appreciated, helping offset equity losses. During the selloff, the Fund experienced a peak-to-trough decline of -5.29%, compared with the S&P 500's maximum drawdown of -8.89%.As equities subsequently recovered and advanced to new all-time highs, the value of the put options declined, as expected. With the S&P 500 closing at 7,499 on June 30, the Fund's put options remain well positioned to provide meaningful downside protection should market volatility return.

Additional Trades: The Fund also engages in shorter-term premium collection strategies designed to help offset the carrying costs of its hedge positions. These strategies generally perform best during periods of relatively low market volatility. With the exception of Operation Epic Fury, the market environment was mostly favorable to these types of trades and this segment of the Fund generated positive returns of 43 basis points over the year ended June 30th, 2026.

How has the Fund performed over the last ten years?

Total Return Based on $10,000 Investment

Table Summary
	Swan Defined Risk Fund	Swan Defined Risk Fund - with load	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend	Bloomberg U.S. Aggregate Bond Index	S&P 500^® Index
Jun-2016	$10,000	$9,450	$10,000	$10,000	$10,000
Jun-2017	$10,573	$9,992	$11,033	$9,969	$11,790
Jun-2018	$11,040	$10,433	$11,953	$9,929	$13,484
Jun-2019	$11,224	$10,607	$13,132	$10,710	$14,889
Jun-2020	$11,068	$10,459	$14,259	$11,646	$16,006
Jun-2021	$13,219	$12,492	$17,540	$11,607	$22,536
Jun-2022	$12,201	$11,530	$15,744	$10,413	$20,144
Jun-2023	$13,237	$12,509	$17,514	$10,315	$24,091
Jun-2024	$14,735	$13,925	$20,215	$10,587	$30,006
Jun-2025	$15,819	$14,949	$22,565	$11,230	$34,556
Jun-2026	$17,957	$16,970	$25,895	$11,656	$42,271

Average Annual Total Returns

Table Summary
	1 Year	5 Years	10 Years
Swan Defined Risk Fund	13.52%	6.32%	6.03%
With Load	7.30%	5.12%	5.43%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend	14.76%	8.10%	9.98%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.54%
S&P 500^® Index	22.32%	13.41%	15.51%

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. For updated performance call 1-877-896-2590.

Fund Statistics

Table Summary
Net Assets	$589,720,695
Number of Portfolio Holdings	25
Advisory Fee	$6,258,255
Portfolio Turnover	9%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	93.2%
Purchased Options	5.9%
Short-Term Investment	0.9%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	0.9%
Index Option	5.3%
Equity	94.0%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	59.4%
State Street Technology Select Sector SPDR ETF	14.0%
State Street Financial Select Sector SPDR ETF	4.0%
State Street Consumer Discretionary Select Sector SPDR ETF	3.1%
State Street Health Care Select Sector SPDR ETF	3.1%
S&P 500 Index, 12/17/27 7350.0 Put	3.1%
State Street Industrial Select Sector SPDR ETF	3.0%
State Street Communication Services Select Sector SPDR ETF	2.7%
S&P 500 Index, 12/17/27 7250.0 Put	2.5%
State Street Consumer Staples Select Sector SPDR ETF	1.6%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Fund - Class A (SDRAX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDRAX

Swan Defined Risk Fund

Class C (SDRCX)

Annual Shareholder Report - June 30, 2026

Fund Overview

What were the Fund’s costs for the last year?

(based on a hypothetical $10,000 investment)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class C	$234	2.20%

How did the Fund perform during the reporting period?

Overview: For the year ended June 30th, 2026 the S&P 500 posted healthy gains of 22.32%. The year was remarkably similar to the previous year ended June 30th, 2025. For most of the 12 months the S&P 500 marched upwards, setting record highs based upon strong corporate earnings and enthusiasm about A.I. However, both periods were interrupted by turmoil driven by policy disruption. In April 2025 it was the tariffs of “Liberation Day”, in February 2026 it was “Operation Epic Fury” and the Iran war. In both cases the markets sold off sharply but recovered quickly. Over this same year ended June 30th, 2026, the Fund's Class C shares had a return of 12.64%. Compared to the S&P 500’s 22.32%, this represents a capture ratio of 57%, in line with expectations for a hedged equity fund during a strong bull market.

Hedge: The Fund hedges its equity exposure through the use of put options. Because put options generally move inversely to the equity market, the hedge allocation is expected to generate negative returns during periods of strong market appreciation, such as when the S&P 500 is reaching new all-time highs. Over the past 12 months, the hedge allocation returned -5.74%, a result consistent with its intended role within the portfolio. The benefits of the hedge were demonstrated during the market volatility surrounding the start of the Iran war. As part of its disciplined risk management process, the Fund re-established its hedge in December 2025 by purchasing put options with an average 7,300 strike price. When the S&P 500 declined below 6,500 in March, these options appreciated, helping offset equity losses. During the selloff, the Fund experienced a peak-to-trough decline of -5.29%, compared with the S&P 500's maximum drawdown of -8.89%. As equities subsequently recovered and advanced to new all-time highs, the value of the put options declined, as expected. With the S&P 500 closing at 7,499 on June 30, the Fund's put options remain well positioned to provide meaningful downside protection should market volatility return.

How has the Fund performed over the last ten years?

Total Return Based on $10,000 Investment

Table Summary
	Swan Defined Risk Fund	S&P 500^® Index	Bloomberg U.S. Aggregate Bond Index	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend
Jun-2016	$10,000	$10,000	$10,000	$10,000
Jun-2017	$10,492	$11,790	$9,969	$11,033
Jun-2018	$10,876	$13,484	$9,929	$11,953
Jun-2019	$10,981	$14,889	$10,710	$13,132
Jun-2020	$10,742	$16,006	$11,646	$14,259
Jun-2021	$12,735	$22,536	$11,607	$17,540
Jun-2022	$11,669	$20,144	$10,413	$15,744
Jun-2023	$12,561	$24,091	$10,315	$17,514
Jun-2024	$13,878	$30,006	$10,587	$20,215
Jun-2025	$14,792	$34,556	$11,230	$22,565
Jun-2026	$16,662	$42,271	$11,656	$25,895

Average Annual Total Returns

Table Summary
	1 Year	5 Years	10 Years
Swan Defined Risk Fund	12.64%	5.52%	5.24%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend	14.76%	8.10%	9.98%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.54%
S&P 500^® Index	22.32%	13.41%	15.51%

Fund Statistics

Table Summary
Net Assets	$589,720,695
Number of Portfolio Holdings	25
Advisory Fee	$6,258,255
Portfolio Turnover	9%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	93.2%
Purchased Options	5.9%
Short-Term Investment	0.9%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	0.9%
Index Option	5.3%
Equity	94.0%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	59.4%
State Street Technology Select Sector SPDR ETF	14.0%
State Street Financial Select Sector SPDR ETF	4.0%
State Street Consumer Discretionary Select Sector SPDR ETF	3.1%
State Street Health Care Select Sector SPDR ETF	3.1%
S&P 500 Index, 12/17/27 7350.0 Put	3.1%
State Street Industrial Select Sector SPDR ETF	3.0%
State Street Communication Services Select Sector SPDR ETF	2.7%
S&P 500 Index, 12/17/27 7250.0 Put	2.5%
State Street Consumer Staples Select Sector SPDR ETF	1.6%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Fund - Class C (SDRCX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDRCX

Swan Defined Risk Fund

Class I (SDRIX)

Annual Shareholder Report - June 30, 2026

Fund Overview

What were the Fund’s costs for the last year?

(based on a hypothetical $10,000 investment)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class I	$128	1.20%

How did the Fund perform during the reporting period?

Overview: For the year ended June 30th, 2026 the S&P 500 posted healthy gains of 22.32%. The year was remarkably similar to the previous year ended June 30th, 2025. For most of the 12 months the S&P 500 marched upwards, setting record highs based upon strong corporate earnings and enthusiasm about A.I. However, both periods were interrupted by turmoil driven by policy disruption. In April 2025 it was the tariffs of “Liberation Day”, in February 2026 it was “Operation Epic Fury” and the Iran war. In both cases the markets sold off sharply but recovered quickly. Over this same year ended June 30th, 2026, the Fund's Class I shares had a return of 13.79%. Compared to the S&P 500’s 22.32%, this represents a capture ratio of 62%, on the higher end of expectations for a hedged equity fund during a strong bull market.

Hedge: The Fund hedges its equity exposure through the use of put options. Because put options generally move inversely to the equity market, the hedge allocation is expected to generate negative returns during periods of strong market appreciation, such as when the S&P 500 is reaching new all-time highs. Over the past 12 months, the hedge allocation returned -5.74%, a result consistent with its intended role within the portfolio. The benefits of the hedge were demonstrated during the market volatility surrounding the start of the Iran war. As part of its disciplined risk management process, the Fund re-established its hedge in December 2025 by purchasing put options with an average 7,300 strike price. When the S&P 500 declined below 6,500 in March, these options appreciated, helping offset equity losses. During the selloff, the Fund experienced a peak-to-trough decline of -5.29%, compared with the S&P 500's maximum drawdown of -8.89%. As equities subsequently recovered and advanced to new all-time highs, the value of the put options declined, as expected. With the S&P 500 closing at 7,499 on June 30, the Fund's put options remain well positioned to provide meaningful downside protection should market volatility return.

How has the Fund performed over the last ten years?

Total Return Based on $100,000 Investment

Table Summary
	Swan Defined Risk Fund	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend	Bloomberg U.S. Aggregate Bond Index	S&P 500^® Index
Jun-2016	$100,000	$100,000	$100,000	$100,000
Jun-2017	$105,994	$110,328	$99,685	$117,896
Jun-2018	$110,897	$119,529	$99,289	$134,843
Jun-2019	$113,071	$131,322	$107,103	$148,890
Jun-2020	$111,767	$142,586	$116,463	$160,064
Jun-2021	$133,845	$175,404	$116,075	$225,361
Jun-2022	$123,755	$157,441	$104,128	$201,437
Jun-2023	$134,470	$175,139	$103,152	$240,907
Jun-2024	$149,980	$202,150	$105,866	$300,064
Jun-2025	$161,591	$225,647	$112,298	$345,564
Jun-2026	$183,869	$258,949	$116,555	$422,712

Average Annual Total Returns

Table Summary
	1 Year	5 Years	10 Years
Swan Defined Risk Fund	13.79%	6.56%	6.28%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index Blend	14.76%	8.10%	9.98%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.54%
S&P 500^® Index	22.32%	13.41%	15.51%

Fund Statistics

Table Summary
Net Assets	$589,720,695
Number of Portfolio Holdings	25
Advisory Fee	$6,258,255
Portfolio Turnover	9%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	93.2%
Purchased Options	5.9%
Short-Term Investment	0.9%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	0.9%
Index Option	5.3%
Equity	94.0%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	59.4%
State Street Technology Select Sector SPDR ETF	14.0%
State Street Financial Select Sector SPDR ETF	4.0%
State Street Consumer Discretionary Select Sector SPDR ETF	3.1%
State Street Health Care Select Sector SPDR ETF	3.1%
S&P 500 Index, 12/17/27 7350.0 Put	3.1%
State Street Industrial Select Sector SPDR ETF	3.0%
State Street Communication Services Select Sector SPDR ETF	2.7%
S&P 500 Index, 12/17/27 7250.0 Put	2.5%
State Street Consumer Staples Select Sector SPDR ETF	1.6%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Fund - Class I (SDRIX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDRIX

Swan Defined Risk Growth Fund

Class A (SDAAX)

Annual Shareholder Report - June 30, 2026

Fund Overview

This annual shareholder report contains important information about Swan Defined Risk Growth Fund for the period of July 1, 2025 to June 30, 2026. You can find additional information about the Fund at https://funds.swanglobalinvestments.com/fund_documents/. 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)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class A	$178	1.65%

How did the Fund perform during the reporting period?

Overview: The Fund typically purchases put options that are “out of the money” rather than “in the money.” While this approach provides less immediate downside risk mitigation - requiring the market to decline further before the put options begin to offset losses - it also allows the Fund to capture more upside during rising markets. As markets experienced significant swings over the past year, this tradeoff played out largely as expected, with the Fund participating more fully in market advances while providing downside mitigation after more meaningful declines. For the year ended June 30th, 2026, the Fund's Class A shares had a return of 15.61%. Compared to the S&P 500’s return of 22.32%, this equates to a capture ratio of 70%. This is on the higher end of expectations for the Fund.

Core Equity: The S&P 500-based ETFs and the call spread trades representing the core equity exposure tracked the market down and up over the last year, posting a 23.40% return. Call spreads are a trade that can augment upside capture if the markets rally. With a strong bull market as a tailwind, the call spread trades pushed the core equity performance above and beyond the 22.32% return of the S&P 500.

Hedge: The Fund completed its annual re-hedge process and entered 2026 with put option hedges that were out of the money, carrying an average strike price of 6,980. During the market selloff in March, driven by the Iran war, the S&P 500 declined below 6,500, causing the Fund's put options to move slightly “in the money” and appreciate in value. However, as markets subsequently recovered and advanced, the value of the put options declined. Over the one-year ended June 30, 2026, the Fund's hedge allocation returned -5.16%, reflecting the cost of maintaining downside protection during a period in which the market ultimately rebounded to new highs.

Additional Trades: The third component of the Fund consists of shorter-term option strategies designed to generate premium income and help offset the carrying costs of the Fund's hedge positions. These strategies generally perform best in relatively stable market environments. However, the sharp increase in volatility during March 2026, including the market's rapid decline followed by an equally swift recovery, created a particularly challenging backdrop. The Fund eked out a small gain of 10 basis points over the year ended June 30, 2026.

How has the Fund performed since inception?

Total Return Based on $10,000 Investment

Chart showing performance over last 10 years or since inception

Table Summary
	Swan Defined Risk Growth Fund	Swan Defined Risk Growth Fund - with load	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	Bloomberg U.S. Aggregate Bond Index	S&P 500^® Index
12/27/18	$10,000	$9,452	$10,000	$10,000	$10,000
06/30/19	$11,380	$10,756	$11,428	$10,642	$11,943
06/30/20	$12,046	$11,386	$12,408	$11,572	$12,840
06/30/21	$15,287	$14,449	$15,264	$11,533	$18,077
06/30/22	$13,684	$12,933	$13,701	$10,346	$16,158
06/30/23	$15,093	$14,265	$15,241	$10,249	$19,324
06/30/24	$17,551	$16,589	$17,592	$10,519	$24,070
06/30/25	$19,136	$18,087	$19,636	$11,158	$27,720
06/30/26	$22,124	$20,911	$22,535	$11,581	$33,908

Average Annual Total Returns

Table Summary
	1 Year	5 Years	Since Inception (December 27, 2018)
Swan Defined Risk Growth Fund	15.61%	7.67%	11.16%
With Load	9.24%	6.46%	10.33%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	14.76%	8.10%	11.43%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.97%
S&P 500^® Index	22.32%	13.41%	17.66%

Fund Statistics

Net Assets$59,189,865
Number of Portfolio Holdings21
Advisory Fee (net of waivers)$513,532
Portfolio Turnover14%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	87.1%
Purchased Options	10.2%
Short-Term Investment	2.7%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	2.8%
Index Option	7.5%
Equity	89.8%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	89.8%
S&P 500 Index, 12/17/27 7500.0 Call	5.8%
S&P 500 Index, 12/17/27 7050.0 Put	2.3%
First American Government Obligations Fund	1.8%
S&P 500 Index, 12/17/27 6900.0 Put	1.8%
Goldman Sachs Financial Square - Treasury Instruments Fund	1.0%
S&P 500 Index, 08/14/26 7100.0 Put	0.1%
S&P 500 Index, 12/17/27 6400.0 Put	0.1%
S&P 500 Index, 08/07/26 7100.0 Put	0.1%
Cboe Volatility Index, 07/22/26 17.5 Put	0.1%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Growth Fund - Class A (SDAAX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDAAX

Swan Defined Risk Growth Fund

Class C (SDACX)

Annual Shareholder Report - June 30, 2026

Fund Overview

What were the Fund’s costs for the last year?

(based on a hypothetical $10,000 investment)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class C	$258	2.40%

How did the Fund perform during the reporting period?

Overview: The Fund typically purchases put options that are “out of the money” rather than “in the money.” While this approach provides less immediate downside risk mitigation - requiring the market to decline further before the put options begin to offset losses - it also allows the Fund to capture more upside during rising markets. As markets experienced significant swings over the past year, this tradeoff played out largely as expected, with the Fund participating more fully in market advances while providing downside mitigation after more meaningful declines. For the year ended June 30th, 2026, the Fund's Class C shares had a return of 14.76%. Compared to the S&P 500’s return of 22.32%, this equates to a capture ratio of 66%. This is in-line with expectations for the Fund.

How has the Fund performed since inception?

Total Return Based on $10,000 Investment

Table Summary
	Swan Defined Risk Growth Fund	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	Bloomberg U.S. Aggregate Bond Index	S&P 500^® Index
Dec-2018	$10,000	$10,000	$10,000	$10,000
Jun-2019	$11,380	$11,428	$10,642	$11,943
Jun-2020	$12,032	$12,408	$11,572	$12,840
Jun-2021	$15,152	$15,264	$11,533	$18,077
Jun-2022	$13,476	$13,701	$10,346	$16,158
Jun-2023	$14,743	$15,241	$10,249	$19,324
Jun-2024	$17,015	$17,592	$10,519	$24,070
Jun-2025	$18,412	$19,636	$11,158	$27,720
Jun-2026	$21,130	$22,535	$11,581	$33,908

Average Annual Total Returns

Table Summary
	1 Year	5 Years	Since Inception (December 27, 2018)
Swan Defined Risk Growth Fund	14.76%	6.88%	10.48%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	14.76%	8.10%	11.43%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.97%
S&P 500^® Index	22.32%	13.41%	17.66%

Fund Statistics

Net Assets$59,189,865
Number of Portfolio Holdings21
Advisory Fee (net of waivers)$513,532
Portfolio Turnover14%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	87.1%
Purchased Options	10.2%
Short-Term Investment	2.7%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	2.8%
Index Option	7.5%
Equity	89.8%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	89.8%
S&P 500 Index, 12/17/27 7500.0 Call	5.8%
S&P 500 Index, 12/17/27 7050.0 Put	2.3%
First American Government Obligations Fund	1.8%
S&P 500 Index, 12/17/27 6900.0 Put	1.8%
Goldman Sachs Financial Square - Treasury Instruments Fund	1.0%
S&P 500 Index, 08/14/26 7100.0 Put	0.1%
S&P 500 Index, 12/17/27 6400.0 Put	0.1%
S&P 500 Index, 08/07/26 7100.0 Put	0.1%
Cboe Volatility Index, 07/22/26 17.5 Put	0.1%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Growth Fund - Class C (SDACX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDACX

Swan Defined Risk Growth Fund

Class I (SDAIX)

Annual Shareholder Report - June 30, 2026

Fund Overview

What were the Fund’s costs for the last year?

(based on a hypothetical $10,000 investment)

Table Summary
Class Name	Costs of a $10,000 investment	Costs paid as a percentage of a $10,000 investment
Class I	$151	1.40%

How did the Fund perform during the reporting period?

Overview: The Fund typically purchases put options that are “out of the money” rather than “in the money.” While this approach provides less immediate downside risk mitigation - requiring the market to decline further before the put options begin to offset losses - it also allows the Fund to capture more upside during rising markets. As markets experienced significant swings over the past year, this tradeoff played out largely as expected, with the Fund participating more fully in market advances while providing downside mitigation after more meaningful declines. For the year ended June 30th, 2026, the Fund's Class I shares had a return of 15.99%. Compared to the S&P 500’s return of 22.32%, this equates to a capture ratio of 72%. This is on the higher end of expectations for the Fund.

How has the Fund performed since inception?

Total Return Based on $100,000 Investment

Table Summary
	Swan Defined Risk Growth Fund	60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	Bloomberg U.S. Aggregate Bond Index	S&P 500^® Index
Dec-2018	$100,000	$100,000	$100,000	$100,000
Jun-2019	$113,800	$114,280	$106,419	$119,432
Jun-2020	$120,725	$124,083	$115,720	$128,396
Jun-2021	$153,593	$152,641	$115,334	$180,774
Jun-2022	$137,845	$137,009	$103,464	$161,583
Jun-2023	$152,468	$152,411	$102,494	$193,244
Jun-2024	$177,774	$175,917	$105,190	$240,697
Jun-2025	$194,132	$196,364	$111,582	$277,196
Jun-2026	$225,166	$225,345	$115,812	$339,080

Average Annual Total Returns

Table Summary
	1 Year	5 Years	Since Inception (December 27, 2018)
Swan Defined Risk Growth Fund	15.99%	7.95%	11.42%
60% - S&P 500^® Index / 40% - Bloomberg U.S. Aggregate Bond Index	14.76%	8.10%	11.43%
Bloomberg U.S. Aggregate Bond Index	3.79%	0.08%	1.97%
S&P 500^® Index	22.32%	13.41%	17.66%

Fund Statistics

Net Assets$59,189,865
Number of Portfolio Holdings21
Advisory Fee (net of waivers)$513,532
Portfolio Turnover14%

Asset Weighting (% of total investments)

Table Summary
Value	Value
Exchange-Traded Funds	87.1%
Purchased Options	10.2%
Short-Term Investment	2.7%

What did the Fund invest in?

Asset Weighting (% of net assets)

Table Summary
Value	Value
Liabilities in Excess of Other Assets	-0.2%
Money Market Funds	2.8%
Index Option	7.5%
Equity	89.8%

Top 10 Holdings (% of net assets)

Table Summary
Holding Name	% of Net Assets
iShares Core S&P 500 ETF	89.8%
S&P 500 Index, 12/17/27 7500.0 Call	5.8%
S&P 500 Index, 12/17/27 7050.0 Put	2.3%
First American Government Obligations Fund	1.8%
S&P 500 Index, 12/17/27 6900.0 Put	1.8%
Goldman Sachs Financial Square - Treasury Instruments Fund	1.0%
S&P 500 Index, 08/14/26 7100.0 Put	0.1%
S&P 500 Index, 12/17/27 6400.0 Put	0.1%
S&P 500 Index, 08/07/26 7100.0 Put	0.1%
Cboe Volatility Index, 07/22/26 17.5 Put	0.1%

Material Fund Changes

No material changes occurred during the year ended June 30, 2026.

Swan Defined Risk Growth Fund - Class I (SDAIX)

Annual Shareholder Report - June 30, 2026

Where can I find additional information about the Fund?

Additional information is available on the Fund’s website (https://funds.swanglobalinvestments.com/fund_documents/), including its:

Prospectus
Financial information
Holdings
Proxy voting information

TSR-AR 063026-SDAIX

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.

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.

Per Share Data and Ratios for a Share of Beneficial Interest Outstanding Throughout Each Year

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.

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”.

Segment Reporting – An operating segment is defined 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. Each Fund’s CODM is comprised of the portfolio managers and Chief Financial Officer of the Trust. 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.

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.

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, 2026 for the Funds’ investments measured at fair value:

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.

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 2023 - 2025 or expected to be taken in the Funds’ in their 2026 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.

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. Each Fund maintains 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.

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, 2026, the advisory fees incurred by each of the Funds were as follows:

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, 2026 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 and contractual indemnification of Fund service providers (other than the 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, 2026, the Advisor waived/reimbursed fees and expenses pursuant to the Waiver Agreement as follows:

During the year ended June 30, 2026, the Advisor did not recapture any previously waived fees. As of June 30, 2026, the Advisor may recapture all or a portion of the waived fees no later than the dates stated below:

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, 2026, the Funds incurred 12b-1 fees attributable to Class A and C shares as follows:

The Distributor acts as the Funds’ principal underwriter in a continuous public offering of the Funds’ shares. During the year ended June 30, 2026, the Distributor received underwriting commissions for sales of Class A shares of each of the Funds as follows:

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

Ultimus Fund Solutions, LLC (“UFS”) – 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.

Northern Lights Compliance Services, LLC (“NLCS”) – 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.

Blu Giant, LLC (“Blu Giant”) – 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.

The Trust engages an insurance broker affiliated with UFS for the purposes of assisting the Trust in obtaining its insurance policies

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, 2026 were as follows:

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of June 30, 2026.

The following is a summary of the effect of derivative instruments on the Statements of Operations for the year ended June 30, 2026.

The notional value of the derivative instruments outstanding as of June 30, 2026 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.

The tax character of distributions paid for the years ended June 30, 2025, and June 30, 2026, was as follows:

As of June 30, 2026, the components of accumulated earnings/(deficit) on a tax basis were as follows:

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.

Late year losses incurred after December 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 late year losses of as follows:

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 of as follows:

At June 30, 2026, the Funds had capital loss carry forwards for federal income tax purposes available to offset future capital gains, along with capital loss carryforwards utilized as follows:

During the fiscal year ended June 30, 2026, 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 and tax adjustments for equalization, resulted in reclassification for the year ended June 30, 2026, as follows:

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, 2026, 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.

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, 2026, the percentage of each Fund’s net assets invested in an underlying fund was as follows:

The Funds have adopted the FASB Accounting Standards Update 2023-09, “Income Taxes (Topic 740) Improvements to Income Tax Disclosures” (“ASU 2023-09”), which establishes new income tax disclosure requirements and modifies or eliminates certain existing disclosure provisions. ASU 2023-09 is intended to address investor requests for more transparency about income tax information and to improve the effectiveness of income tax disclosures. The Funds’ adoption of ASU 2023-09 did not have a material impact on either Fund’s financial statements.

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.

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:

We have audited the accompanying statements of assets and liabilities of Swan Defined Risk Fund and Swan Defined Risk Growth Fund (the “Funds”), each a fund constituting the Northern Lights Fund Trust III (the “Trust”), including the schedules of investments, as of June 30, 2026, 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 each of the funds constituting the Trust as of June 30, 2026, 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.

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, 2026, 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.

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

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

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

In connection with a meeting held on May 20, 2026, the Board, including a majority of the Trustees who are not “interested persons,” as that term is defined in the Investment Company Act of 1940, as amended, 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.

Nature, Extent & Quality of Services. The Board noted that the Adviser was founded in 1997, and together with its affiliate and commonly controlled sub-adviser, the Sub-Adviser, managed approximately $2.3 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 enablement. The Board noted that Swan did not use artificial intelligence. The Board acknowledged that Swan reported no material compliance, litigation or cybersecurity concerns since the most recent renewal of the advisory agreement. The Board concluded that Swan could be expected to continue providing quality service to each Swan Fund and its shareholders.

Swan DR—The Board observed that Swan DR was a 3-star Morningstar rated fund. The Board noted that Swan DR outperformed its Morningstar category but underperformed the S&P 500 and peer group over the 1-year period. The Board further noted that Swan DR underperformed its peer group, Morningstar category, and the S&P 500 over the 3-year and 5- year periods. The Board commented that Swan DR outperformed its peer group and Morningstar category over the since inception period. The Board acknowledged that over the 1-year period, Swan DR had a capture ratio of over 56% 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 DR and its shareholders.

Swan Growth—The Board acknowledged that Swan Growth was a 4-star Morningstar rated fund. The Board noted that Swan Growth outperformed its Morningstar category and peer group across all periods. The Board commented that over the 1-year period, Swan Growth had a capture ratio of over 77% 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 noted that Swan DR’s advisory fee was the same as the medians of the Morningstar category and peer group and lower than the averages of the Morningstar category and peer group. The Board observed that Swan DR’s net expense ratio was lower than the Morningstar category average and median, on par with the peer group median and higher than the 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 DR was actively managed due to the option component in Swan DR’s strategy. The Board concluded that the advisory fee for Swan DR was not unreasonable.

Swan Growth—The Board noted that Swan Growth’s advisory fee was lower than the peer group average and median, slightly lower than the Morningstar category and on par with the Morningstar category median. The Board observed that Swan Growth’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 options component of Swan Growth’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.

Economies of Scale. The Board considered whether Swan had achieved economies of scale with respect to the management of each Swan Fund. The Board noted that Swan had indicated its willingness to consider 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.

Profitability. 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 acknowledged Swan’s assertion that the profits were reasonable due to the complexity of managing each Swan Fund. The Board concluded that Swan was not realizing an excessive profit from the advisory fee paid to any of the Swan Funds or in the aggregate to all of the Swan Funds.

Conclusion. 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.

Information regarding how the Funds voted proxies relating to portfolio securities for the most recent twelve month period ended June 30 as well as a description of the policies and procedures that the Funds used to determine how to vote proxies is available without charge, upon request, by calling 1-877-896-2590, by visiting swandefinedriskfunds.com, or by referring to the Securities and Exchange Commission’s (“SEC”) website at http://www.sec.gov.

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

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

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

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

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

(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.

(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.

(b) Certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)): Attached hereto

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.

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.

225 Pictoria Drive, Suite 450, Cincinnati, OH	45246
(Address of principal executive offices)	(Zip code)

(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)

(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, 2026 and 2025 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, 2026 and 2025 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.

Shares			Fair Value
		EXCHANGE-TRADED FUNDS — 94.0%
		EQUITY - 94.0%
	468,000	iShares Core S&P 500 ETF^(a)	$	350,480,520
	149,574	State Street Communication Services Select Sector SPDR ETF^(a)		16,023,863
	156,924	State Street Consumer Discretionary Select Sector SPDR ETF^(a)		18,404,047
	111,549	State Street Consumer Staples Select Sector SPDR ETF^(a)		9,266,375
	115,832	State Street Energy Select Sector SPDR ETF		6,151,838
	440,480	State Street Financial Select Sector SPDR ETF^(a)		23,614,133
	114,442	State Street Health Care Select Sector SPDR ETF^(a)		18,157,368
	96,578	State Street Industrial Select Sector SPDR ETF^(a)		17,889,143
	70,422	State Street Materials Select Sector SPDR ETF		3,579,550
	80,407	State Street Real Estate Select Sector SPDR ETF^(a)		3,540,320
	433,006	State Street Technology Select Sector SPDR ETF^(a)		82,496,303
	95,688	State Street Utilities Select Sector SPDR ETF		4,338,494
		TOTAL EXCHANGE-TRADED FUNDS (Cost $172,202,631)		553,941,954

		SHORT-TERM INVESTMENTS — 0.9%
		MONEY MARKET FUNDS - 0.9%
	2,147,634	First American Government Obligations Fund, Class X, 3.57%^(b)		2,147,634
	3,062,241	Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.37% (b)		3,062,241

		TOTAL SHORT-TERM INVESTMENTS (Cost $5,209,875)		5,209,875

Contracts^(c)			Expiration Date	Exercise Price		Notional Value
		INDEX OPTIONS PURCHASED - 5.9%
		PUT OPTIONS PURCHASED - 5.9%
	750	S&P 500 Index	07/10/2026	$	6,350	$	562,452,000	$	43,540
	750	S&P 500 Index	07/10/2026		6,650		562,452,000		76,450
	187	S&P 500 Index	07/17/2026		7,280		140,238,032		465,727
	186	S&P 500 Index	08/07/2026		7,100		139,488,096		680,276
	187	S&P 500 Index	08/14/2026		7,100		140,238,032		835,134
	341	S&P 500 Index	12/17/2027		7,250		255,728,176		14,466,481
	400	S&P 500 Index	12/17/2027		7,350		299,974,400		18,051,851
		TOTAL PUT OPTIONS PURCHASED (Cost - $59,368,872)							34,619,459

		TOTAL INVESTMENTS - 100.8% (Cost $236,781,378)						$	593,771,288
		PUT OPTIONS WRITTEN - (0.6)% (Premiums received - $10,658,813)							(3,374,350	)
		LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2)%							(676,243	)
		NET ASSETS - 100.0%						$	589,720,695

(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:

ETF	- Exchange-Traded Fund

SPDR	- Standard & Poor’s Depositary Receipt

Shares			Fair Value
		EXCHANGE-TRADED FUNDS — 89.8%
		EQUITY - 89.8%
	71,000	iShares Core S&P 500 ETF^(a)	$	53,171,190
		TOTAL EXCHANGE-TRADED FUNDS (Cost $25,049,222)

		SHORT-TERM INVESTMENTS — 2.8%
		MONEY MARKET FUNDS - 2.8%
	1,097,015	First American Government Obligations Fund, Class X, 3.57%^(b)		1,097,015
	567,872	Goldman Sachs Financial Square - Treasury Instruments Fund, Institutional Class, 3.37%^(b)		567,872

		TOTAL SHORT-TERM INVESTMENTS (Cost $1,664,887)		1,664,887

			Swan Defined Risk
	Swan Defined Risk		Growth
	Fund		Fund
ASSETS
Investment securities:
Investments, at cost	$	236,781,378	$	33,445,148
Investments, at value		593,771,288		61,075,646
Cash		283,386		—
Receivable for Fund shares sold		19,885		—
Dividends and interest receivable		12,868		3,161
Prepaid expenses and other assets		20,984		3,806
TOTAL ASSETS		594,108,411		61,082,613

LIABILITIES
Options written, at value
(Premiums received - $10,658,813 and $1,784,409, respectively)		3,374,350		1,791,125
Investment advisory fees payable		488,488		61,218
Payable for Fund shares repurchased		288,437		—
Distribution (12b-1) fees payable		55,117		1,535
Payable to related parties		45,258		9,067
Accrued expenses and other liabilities		136,066		29,803
TOTAL LIABILITIES		4,387,716		1,892,748
NET ASSETS	$	589,720,695	$	59,189,865

NET ASSETS CONSIST OF:
Paid in capital	$	192,328,960	$	34,241,613
Accumulated earnings		397,391,735		24,948,252
NET ASSETS	$	589,720,695	$	59,189,865

NET ASSET VALUE PER SHARE:
Class A Shares:
Net Assets	$	133,458,320	$	2,162,309
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		8,671,622		131,502
Net asset value (Net Assets ÷ Shares Outstanding) and offering price per share	$	15.39	$	16.44
Maximum offering price per share (maximum sales charge of 5.50%)	$	16.29	$	17.40

Class C Shares:
Net Assets	$	33,137,631	$	1,333,549
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		2,326,512		85,748
Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share	$	14.24	$	15.55

Class I Shares:
Net Assets	$	423,124,744	$	55,694,007
Shares of beneficial interest outstanding ($0 par value, unlimited shares authorized)		27,102,385		3,323,449
Net asset value (Net Assets ÷ Shares Outstanding), redemption price and offering price per share	$	15.61	$	16.76

	For the			For the
	Year Ended			Year Ended
	June 30, 2026			June 30, 2025
FROM OPERATIONS
Net investment loss	$	(1,054,523	)	$	(149,479	)
Net realized gain on investments, options purchased and options written		70,658,329			48,901,894
Net change in unrealized appreciation on investments, options purchased and options written		10,270,232			1,077,832
Net increase in net assets resulting from operations		79,874,038			49,830,247

DISTRIBUTIONS TO SHAREHOLDERS
Total distributions paid
Class A		(12,814,665	)		(6,659,086	)
Class C		(4,745,359	)		(4,843,228	)
Class I		(44,046,172	)		(29,938,726	)
Net decrease in net assets resulting from distributions to shareholders		(61,606,196	)		(41,441,040	)

FROM SHARES OF BENEFICIAL INTEREST
Proceeds from shares sold:
Class A		15,622,458			30,620,875
Class C		1,353,803			6,189,148
Class I		35,375,886			43,210,204
Net asset value of shares issued in reinvestment of distributions:
Class A		12,241,834			6,324,190
Class C		4,347,318			4,437,591
Class I		41,164,760			28,331,964
Payments for shares redeemed:
Class A		(25,455,180	)		(18,530,683	)
Class C		(26,540,308	)		(42,712,074	)
Class I		(129,694,785	)		(136,123,052	)
Net decrease in net assets from shares of beneficial interest		(71,584,214	)		(78,251,837	)

TOTAL DECREASE IN NET ASSETS		(53,316,372	)		(69,862,630	)

NET ASSETS
Beginning of Year		643,037,067			712,899,697
End of Year	$	589,720,695		$	643,037,067

SHARE ACTIVITY
Class A:
Shares Sold		1,029,207			2,078,651
Shares Reinvested		836,191			428,759
Shares Redeemed		(1,672,923	)		(1,240,639	)
Net increase in shares of beneficial interest outstanding		192,475			1,266,771

Class C:
Shares Sold		95,730			434,010
Shares Reinvested		319,656			319,251
Shares Redeemed		(1,881,776	)		(3,055,170	)
Net decrease in shares of beneficial interest outstanding		(1,466,390	)		(2,301,909	)

Class I:
Shares Sold		2,294,107			2,863,113
Shares Reinvested		2,775,776			1,904,030
Shares Redeemed		(8,461,973	)		(9,058,168	)
Net decrease in shares of beneficial interest outstanding		(3,392,090	)		(4,291,025	)

Swan Defined Risk Fund

Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Funds	$	553,941,954	$	—	$	—	$	553,941,954
Purchased Put Options		—		34,619,459		—		34,619,459
Short-Term Investments		5,209,875		—		—		5,209,875
Total	$	559,151,829	$	34,619,459	$	—	$	593,771,288
Liabilities *
Put Options Written	$	—	$	3,374,350	$	—	$	3,374,350
Total	$	—	$	3,374,350	$	—	$	3,374,350

Swan Defined Risk Growth Fund

Assets *	Level 1		Level 2		Level 3		Total
Exchange-Traded Fund	$	53,171,190	$	—	$	—	$	53,171,190
Purchased Call Options		—		3,442,504		—		3,442,504
Purchased Put Options		—		2,797,065		—		2,797,065
Short-Term Investments		1,664,887		—		—		1,664,887
Total	$	54,836,077	$	6,239,569	$	—	$	61,075,646
Liabilities *
Call Options Written	$	—	$	1,465,812	$	—	$	1,465,812
Put Options Written		—		325,313		—		325,313
Total	$	—	$	1,791,125	$	—	$	1,791,125

Fund	Advisory Fees
Swan Defined Risk Fund	$	6,258,255
Swan Defined Risk Growth Fund		531,038

	Advisory
Fund	Fees Waived
Swan Defined Risk Fund	$	—
Swan Defined Risk Growth Fund		17,506

Fund	June 30, 2027		June 30, 2028		June 30, 2029		Total
Swan Defined Risk Fund	$	—	$	—	$	—	$	—
Swan Defined Risk Growth Fund		86,743		63,618		17,506		167,867

			Amount Retained
			by Principal
Fund	Commission		Underwriter
Swan Defined Risk Fund	$	38,474	$	5,450
Swan Defined Risk Growth Fund		330		30

Fund	Purchases		Sales
Swan Defined Risk Fund	$	—	$	170,943,173
Swan Defined Risk Growth Fund		3,888,975		4,111,079

Swan Defined Risk Fund

Contract Type/Primary Risk Exposure	Statements of Assets and Liabilities	Value
Index contracts/Equity price risk	Investment securities, at value	$	34,619,459
Index contracts/Equity price risk	Options Written, at value		(3,374,350	)

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	$	6,239,569
Index contracts/Equity price risk	Options Written, at value		(1,791,125	)

				Change in Unrealized
	Realized Gain/(Loss)			Appreciation/(Depreciation)
Contract Type/Primary Risk Exposure	on Options Purchased			on Options Purchased
Index contracts/Equity price risk	$	(85,398,214	)	$	(3,069,716	)

			Gross		Gross			Net Unrealized
	Tax		Unrealized		Unrealized			Appreciation
Fund	Cost		Appreciation		Depreciation			(Depreciation)
Swan Defined Risk Fund	$	208,875,798	$	381,739,323	$	(218,183	)	$	381,521,140
Swan Defined Risk Growth Fund		31,249,531		28,121,969		(86,979	)		28,034,990

	For the year ended June 30, 2026:
	Ordinary		Long-Term		Return
Fund	Income		Capital Gains		of Capital		Total
Swan Defined Risk Fund	$	—	$	61,606,196	$	—	$	61,606,196
Swan Defined Risk Growth Fund		—		—		—		—

	For the year ended June 30, 2025:
	Ordinary		Long-Term		Return
Fund	Income		Capital Gains		of Capital		Total
Swan Defined Risk Fund	$	451,171	$	40,989,869	$	—	$	41,441,040
Swan Defined Risk Growth Fund		—		735,129		—		735,129

	Undistributed		Undistributed		Post October Loss			Capital Loss			Other			Unrealized		Total
	Ordinary		Long-Term		and			Carry			Book/Tax			Appreciation/		Accumulated
Fund	Income		Capital Gains		Late Year Loss			Forwards			Differences			(Depreciation)		Earnings/(Deficits)
Swan Defined Risk Fund	$	—	$	20,020,821	$	(824,283	)	$	—		$	(3,325,943	)		381,521,140	$	397,391,735
Swan Defined Risk Growth Fund		—		—		(977,897	)		(1,757,133	)		(351,708	)		28,034,990		24,948,252

	Late Year
Fund	Losses
Swan Defined Risk Fund	$	824,283
Swan Defined Risk Growth Fund		107,111

	Post October
Fund	Losses
Swan Defined Risk Fund	$	—
Swan Defined Risk Growth Fund		870,786

	Non-Expiring
Fund	Short-Term		Long- Term		Total		CLCF Utilized
Swan Defined Risk Fund	$	—	$	—	$	—	$	—
Swan Defined Risk Growth Fund		1,574,776		182,357		1,757,133		—

	Paid
	In			Distributable/Accumulated
Fund	Capital			Earnings (Losses)
Swan Defined Risk Fund	$	7,848,438		$	(7,848,438	)
Swan Defined Risk Growth Fund		(33,277	)		33,277

Shareholder	Fund	Percent
Pershing LLC	Swan Defined Risk Growth Fund	63.66%

Fund	Underlying Investment	% of Net Assets
Swan Defined Risk Fund	iShares Core S&P 500 ETF		59.4	%
Swan Defined Risk Growth Fund	iShares Core S&P 500 ETF		89.8	%