Overlay Shares Short Term Bond ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
as of November 30, 2023 (Unaudited)
|
||||||||||||
EXCHANGE TRADED FUNDS - 99.8%
|
Shares
|
Value
|
||||||||||
Vanguard Short-Term Corporate Bond ETF(a)(b)
|
765,032
|
$
|
58,463,745
|
|||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $61,889,594)
|
58,463,745
|
|||||||||||
OPTIONS PURCHASED - 0.0%
|
Notional
|
Contracts(f)
|
Value
|
|||||||||
Put Options - 0.0%(c)(d)(e)
|
$
|
–
|
||||||||||
S&P 500 Index
|
–
|
$
|
–
|
|||||||||
Expires December 4, 2023 at $4,400.00
|
11,419,500
|
25
|
438
|
|||||||||
Expires December 6, 2023 at $4,375.00
|
11,419,500
|
25
|
1,125
|
|||||||||
Expires December 8, 2023 at $4,375.00
|
11,419,500
|
25
|
3,250
|
|||||||||
Expires December 11, 2023 at $4,400.00
|
11,876,280
|
26
|
6,175
|
|||||||||
Expires December 13, 2023 at $4,390.00
|
11,876,280
|
26
|
11,830
|
|||||||||
Total Put Options
|
22,818
|
|||||||||||
TOTAL OPTIONS (Cost $55,093)
|
22,818
|
|||||||||||
SHORT-TERM INVESTMENTS - 1.0%
|
||||||||||||
Money Market Funds - 1.0%
|
Shares
|
|||||||||||
First American Government Obligations Fund - Class X, 5.29%(g)
|
562,335
|
562,335
|
||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost
$562,335)
|
562,335
|
|||||||||||
TOTAL INVESTMENTS - 100.8% (Cost
$62,507,022)
|
$
|
59,048,898
|
||||||||||
Liabilities in Excess of Other Assets - (0.8)%
|
(465,351
|
)
|
||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
58,583,547
|
||||||||||
Percentages are stated as a percent of net assets.
|
(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 $16,469,809.
|
(c)
|
Represents less than 0.05% of net assets.
|
(d)
|
Exchange-traded.
|
(e)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
(f)
|
Each contract has a multiplier of 100.
|
(g)
|
The rate shown represents the 7-day effective yield as of November 30, 2023.
|
Overlay Shares Short Term Bond ETF
|
||||||||||||
Schedule of Written Options
|
||||||||||||
as of November 30, 2023 (Unaudited)
|
||||||||||||
Options Written - (0.3)% (a)
|
Notional
|
Contracts(b)
|
Value
|
|||||||||
Put Options - (0.3)%
|
||||||||||||
S&P 500 Index
|
0
|
0
|
–
|
|||||||||
Expires December 4, 2023 at $4,535.00
|
$
|
11,419,500
|
25
|
$
|
15,500
|
|||||||
Expires December 6, 2023 at $4,500.00
|
11,419,500
|
25
|
11,500
|
|||||||||
Expires December 8, 2023 at $4,510.00
|
11,419,500
|
25
|
24,875
|
|||||||||
Expires December 11, 2023 at $4,530.00
|
11,876,280
|
26
|
42,510
|
|||||||||
Expires December 13, 2023 at $4,520.00
|
11,876,280
|
26
|
53,170
|
|||||||||
Total Put Options
|
147,555
|
|||||||||||
Total Options Written (Premiums
received $284,546)
|
147,555
|
Overlay Shares Short Term Bond ETF
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Investments:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
58,463,745
|
$
|
–
|
$
|
–
|
$
|
58,463,745
|
||||||||
Options
|
–
|
22,818
|
–
|
22,818
|
||||||||||||
Money Market Funds
|
562,335
|
–
|
–
|
562,335
|
||||||||||||
Total Investments
|
$
|
59,026,080
|
$
|
22,818
|
$
|
–
|
$
|
59,048,898
|
||||||||
Investments Sold Short:
|
||||||||||||||||
Options
|
$
|
–
|
$
|
147,555
|
$
|
–
|
$
|
147,555
|
||||||||
Total Investments Sold Short
|
$
|
–
|
$
|
147,555
|
$
|
–
|
$
|
147,555
|
||||||||