Overlay Shares Small Cap Equity ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
May 31, 2023 (Unaudited)
|
||||||||||||
Shares
|
Value
|
|||||||||||
IINVESTMENT COMPANIES - 99.8%
|
||||||||||||
Exchange Traded Funds - 99.8%
|
||||||||||||
iShares Core S&P Small-Cap ETF (a)(b)
|
76,376
|
$
|
7,059,434
|
|||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $7,932,875)
|
7,059,434
|
|||||||||||
MONEY MARKET FUNDS - 0.9%
|
||||||||||||
First American Government Obligations Fund - Class X, 4.97% (c)
|
61,756
|
61,756
|
||||||||||
TOTAL MONEY MARKET FUNDS (Cost $61,756)
|
61,756
|
|||||||||||
Number of
|
||||||||||||
Contracts (d)
|
Notional Value
|
|||||||||||
PURCHASED OPTIONS - 0.2%
|
||||||||||||
PURCHASED PUT OPTIONS - 0.2%
|
||||||||||||
CBOE S&P 500 Index
|
||||||||||||
Expiration: June 2023, Exercise Price: $4,070 (e)
|
3
|
$
|
878
|
$
|
1,253,949
|
|||||||
Expiration: June 2023, Exercise Price: $4,070 (e)
|
3
|
3,480
|
1,253,949
|
|||||||||
Expiration: June 2023, Exercise Price: $4,090 (e)
|
3
|
3,465
|
1,253,949
|
|||||||||
Expiration: June 2023, Exercise Price: $4,170 (e)
|
4
|
9,920
|
1,671,932
|
|||||||||
TOTAL PURCHASED OPTIONS (Cost $21,857)
|
17,743
|
|||||||||||
Total Investments (Cost $8,016,488) - 100.9%
|
7,138,933
|
|||||||||||
Other Assets and Liabilities, net - (0.9)%
|
(65,263
|
)
|
||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
7,073,670
|
Percentages are stated as a percent of net assets.
|
||||||||
CBOE
|
Chicago Board Options Exchange
|
|||||||
(a)
|
Fair value of this security exceeds 25% of the Fund's net assets. Additional information for this security, including the financial
statements, is available from the SEC's EDGAR database at www.sec.gov.
|
|||||||
(b)
|
All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral
for written options is $2,720,122.
|
|||||||
(c)
|
The rate shown is the seven-day yield at period end.
|
|||||||
(d)
|
Each contract has a multiplier of 100.
|
|||||||
(e)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
Overlay Shares Small Cap Equity ETF
|
||||||||||||
Schedule of Written Options
|
||||||||||||
May 31, 2023 (Unaudited)
|
||||||||||||
Number of
|
||||||||||||
Contracts (a)
|
Value
|
Notional Value
|
||||||||||
WRITTEN OPTIONS - (0.6)%
|
||||||||||||
WRITTEN PUT OPTIONS - (0.6)%
|
||||||||||||
CBOE S&P 500 Index
|
||||||||||||
Expiration: June 2023, Exercise Price: $4,130
|
3
|
$
|
2,745
|
$
|
1,253,949
|
|||||||
Expiration: June 2023, Exercise Price: $4,130
|
3
|
6,360
|
1,253,949
|
|||||||||
Expiration: June 2023, Exercise Price: $4,150
|
3
|
6,945
|
1,253,949
|
|||||||||
Expiration: June 2023, Exercise Price: $4,230
|
4
|
22,700
|
1,671,932
|
|||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $39,555)
|
$
|
38,750
|
Percentages are stated as a percent of net assets.
|
|||||||
CBOE Chicago Board Options Exchange
|
|||||||
(a)
|
Each contract has a multiplier of 100.
|
Fair Value Measurements
|
|||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels.
|
|||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs
|
|||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant
|
|||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the
|
|||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities.
|
|||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3.
|
|||||||
The following is a summary of the inputs used to value the Fund's investments carried at fair value as of May 31, 2023:
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments - Assets:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
7,059,434
|
$
|
-
|
$
|
-
|
$
|
7,059,434
|
||||||||
Money Market Funds
|
61,756
|
-
|
-
|
61,756
|
||||||||||||
Purchased Put Options
|
-
|
17,743
|
-
|
17,743
|
||||||||||||
Total Investments - Assets
|
$
|
7,121,190
|
$
|
17,743
|
$
|
-
|
$
|
7,138,933
|
||||||||
Other Financial Instruments - Liabilities:
|
||||||||||||||||
Written Put Options
|
$
|
-
|
$
|
38,750
|
$
|
-
|
$
|
38,750
|
||||||||