Overlay Shares Municipal Bond ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
as of May 31, 2024 (Unaudited)
|
||||||||||||
EXCHANGE TRADED FUNDS - 99.9%
|
Shares
|
Value
|
||||||||||
iShares National Muni Bond ETF(a)(f)
|
211,605
|
$
|
22,375,112
|
|||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $23,479,404)
|
22,375,112
|
|||||||||||
PURCHASED OPTIONS - 0.1%(b)(c)
|
Notional Amount
|
Contracts
|
Value
|
|||||||||
Put Options - 0.1%
|
$
|
–
|
||||||||||
S&P 500 Index
|
–
|
$
|
–
|
|||||||||
Expiration: 06/03/2024; Exercise Price: $5,220.00
|
4,749,759
|
9
|
720
|
|||||||||
Expiration: 06/03/2024; Exercise Price: $5,175.00(g)
|
4,749,759
|
9
|
225
|
|||||||||
Expiration: 06/07/2024; Exercise Price: $5,175.00(g)
|
5,277,510
|
10
|
3,750
|
|||||||||
Expiration: 06/14/2024; Exercise Price: $5,150.00(g)
|
4,749,759
|
9
|
10,035
|
|||||||||
Total Put Options
|
14,730
|
|||||||||||
TOTAL PURCHASED OPTIONS (Cost $46,661)
|
14,730
|
|||||||||||
SHORT-TERM INVESTMENTS - 0.0%(d)
|
||||||||||||
Money Market Funds - 0.0%(d)
|
Shares
|
|||||||||||
First American Government Obligations Fund - Class X, 5.24%(e)
|
7,211
|
7,211
|
||||||||||
TOTAL SHORT-TERM INVESTMENTS
(Cost $7,211)
|
7,211
|
|||||||||||
TOTAL INVESTMENTS - 100.0% (Cost
$23,533,276)
|
$
|
22,397,053
|
||||||||||
Other Assets in Excess of Liabilities - 0.0%(d)
|
642
|
|||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
22,397,695
|
||||||||||
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)
|
Exchange-traded.
|
(c)
|
100 shares per contract.
|
(d)
|
Represents less than 0.05% of net assets.
|
(e)
|
The rate shown represents the 7-day effective yield as of May 31, 2024.
|
(f)
|
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 $14,022,499.
|
(g)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
Overlay Shares Municipal Bond ETF
|
||||||||||||
Schedule of Written Options
|
||||||||||||
as of May 31, 2024 (Unaudited)
|
||||||||||||
WRITTEN OPTIONS - (0.2)% (a)(b)
|
Notional Amount
|
Contracts
|
Value
|
|||||||||
Put Options - (0.2)%
|
||||||||||||
S&P 500 Index
|
0
|
0
|
–
|
|||||||||
Expiration: 06/03/2024; Exercise Price: $5,275.00
|
$
|
(4,749,759
|
)
|
(9
|
)
|
$
|
(7,920
|
)
|
||||
Expiration: 06/07/2024; Exercise Price: $5,275.00
|
(5,277,510
|
)
|
(10
|
)
|
(24,000
|
)
|
||||||
Expiration: 06/14/2024; Exercise Price: $5,200.00
|
(4,749,759
|
)
|
(9
|
)
|
(16,785
|
)
|
||||||
Total Put Options
|
(48,705
|
)
|
||||||||||
TOTAL WRITTEN OPTIONS (Premiums
received $93,558)
|
(48,705
|
)
|
||||||||||
Percentages are stated as a percent of net assets.
|
(a)
|
Exchange-traded.
|
(b)
|
100 shares per contract.
|
Overlay Shares Municipal Bond ETF
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets:
|
||||||||||||||||
Investments:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
22,375,112
|
$
|
–
|
$
|
–
|
$
|
22,375,112
|
||||||||
Purchased Options
|
720
|
14,010
|
–
|
14,730
|
||||||||||||
Money Market Funds
|
7,211
|
–
|
–
|
7,211
|
||||||||||||
Total Investments
|
$
|
22,383,043
|
$
|
14,010
|
$
|
–
|
$
|
22,397,053
|
||||||||
Liabilities:
|
||||||||||||||||
Investments:
|
||||||||||||||||
Written Options
|
$
|
–
|
$
|
(48,705
|
)
|
$
|
–
|
$
|
(48,705
|
)
|
||||||
Total Investments
|
$
|
–
|
$
|
(48,705
|
)
|
$
|
–
|
$
|
(48,705
|
)
|
||||||