NPORT-EX 2 ovt.htm
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
  

(a)     Exchange-traded.
(b)     Each contract has a multiplier of 100.
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 November 30, 2023:

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