NPORT-EX 2 ovb.htm
Overlay Shares Core Bond ETF
  
Schedule of Investments
  
as of November 30, 2023 (Unaudited)
  
   
EXCHANGE TRADED FUNDS - 99.8%
    
Shares
    
Value
  
iShares Core U.S. Aggregate Bond ETF(a)(b)
          
462,149
    
$
44,486,462
  
TOTAL EXCHANGE TRADED FUNDS (Cost $53,260,773)
      
44,486,462
  
                       
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
    
9,135,600
      
20
      
350
  
Expires December 6, 2023 at $4,375.00
    
9,135,600
      
20
      
900
  
Expires December 8, 2023 at $4,375.00
    
9,592,380
      
21
      
2,730
  
Expires December 11, 2023 at $4,400.00
    
9,135,600
      
20
      
4,750
  
Expires December 13, 2023 at $4,390.00
    
7,765,260
      
17
      
7,735
  
Total Put Options
                    
16,465
  
TOTAL OPTIONS (Cost $42,150)
      
16,465
  
                         
SHORT-TERM INVESTMENTS - 1.0%
                  
Money Market Funds - 1.0%
    
Shares
          
First American Government Obligations Fund - Class X, 5.29%(g)
      
454,162
      
454,162
  
TOTAL SHORT-TERM INVESTMENTS (Cost $454,162)
      
454,162
  
                         
TOTAL INVESTMENTS - 100.8% (Cost $53,757,085)
    
$
44,957,089
  
Liabilities in Excess of Other Assets - (0.8)%
      
(369,891
)
TOTAL NET ASSETS - 100.0%
                  
$
44,587,198
  
           
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 $44,062,437.
(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 Core Bond ETF
  
Schedule of Written Options
  
as of November 30, 2023 (Unaudited)
  
   
Options Written - (0.2)% (a)
Notional
  
Contracts (b)
  
Value
  
Put Options - (0.2)%
            
S&P 500 Index
    
0
      
0
      
–
  
   Expires December 4, 2023 at $4,535.00
  
$
9,135,600
      
20
    
$
12,400
  
   Expires December 6, 2023 at $4,500.00
    
9,135,600
      
20
      
9,200
  
   Expires December 8, 2023 at $4,510.00
    
9,592,380
      
21
      
20,895
  
   Expires December 11, 2023 at $4,530.00
    
9,135,600
      
20
      
32,700
  
   Expires December 13, 2023 at $4,520.00
    
7,765,260
      
17
      
34,765
  
Total Put Options
                    
109,960
  
Total Options Written (Premiums received $217,997)
                    
109,960
  

(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 Core Bond ETF
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments:
                        
  Exchange Traded Funds
  
$
44,486,462
    
$
–
    
$
–
    
$
44,486,462
  
  Options
    
–
      
16,465
      
–
      
16,465
  
  Money Market Funds
    
454,162
      
–
      
–
      
454,162
  
Total Investments
  
$
44,940,624
    
$
16,465
    
$
–
    
$
44,957,089
  
                                 
Investments Sold Short:
                                
  Options
  
$
–
    
$
109,960
    
$
–
    
$
109,960
  
Total Investments Sold Short
  
$
–
    
$
109,960
    
$
–
    
$
109,960