Overlay Shares Foreign Equity ETF
|
||||||||||||
Schedule of Investments
|
||||||||||||
as of May 31, 2024 (Unaudited)
|
||||||||||||
EXCHANGE TRADED FUNDS - 99.9%
|
Shares
|
Value
|
||||||||||
iShares Core MSCI EAFE ETF(a)(e)
|
189,297
|
$
|
14,282,459
|
|||||||||
iShares Core MSCI Emerging Markets ETF(e)
|
65,824
|
3,461,684
|
||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $15,767,332)
|
17,744,143
|
|||||||||||
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
|
4,222,008
|
8
|
640
|
|||||||||
Expiration: 06/03/2024; Exercise Price: $5,175.00(f)
|
4,222,008
|
8
|
200
|
|||||||||
Expiration: 06/07/2024; Exercise Price: $5,175.00(f)
|
4,749,759
|
9
|
3,375
|
|||||||||
Expiration: 06/14/2024; Exercise Price: $5,150.00(f)
|
4,222,008
|
8
|
8,920
|
|||||||||
Total Put Options
|
13,135
|
|||||||||||
TOTAL PURCHASED OPTIONS (Cost $41,650)
|
13,135
|
|||||||||||
SHORT-TERM INVESTMENTS - 0.1%
|
||||||||||||
Money Market Funds - 0.1%
|
Shares
|
|||||||||||
First American Government Obligations Fund - Class X, 5.24%(d)
|
17,275
|
17,275
|
||||||||||
TOTAL SHORT-TERM INVESTMENTS
(Cost $17,275)
|
17,275
|
|||||||||||
TOTAL INVESTMENTS - 100.1% (Cost
$15,826,257)
|
$
|
17,774,553
|
||||||||||
Liabilities in Excess of Other Assets - (0.1)%
|
(18,203
|
)
|
||||||||||
TOTAL NET ASSETS - 100.0%
|
$
|
17,756,350
|
||||||||||
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)
|
The rate shown represents the 7-day effective yield as of May 31, 2024.
|
(e)
|
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 $14,956,557.
|
(f)
|
Held in connection with a written option, see Schedule of Written Options for more detail.
|
Overlay Shares Foreign Equity 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
|
$
|
(4,222,008
|
)
|
(8
|
)
|
$
|
(7,040
|
)
|
||||
Expiration: 06/07/2024; Exercise Price: $5,275.00
|
(4,749,759
|
)
|
(9
|
)
|
(21,600
|
)
|
||||||
Expiration: 06/14/2024; Exercise Price: $5,200.00
|
(4,222,008
|
)
|
(8
|
)
|
(14,920
|
)
|
||||||
Total Put Options
|
(43,560
|
)
|
||||||||||
TOTAL WRITTEN OPTIONS (Premiums
received $83,650)
|
(43,560
|
)
|
||||||||||
Percentages are stated as a percent of net assets.
|
(a)
|
Exchange-traded.
|
(b)
|
100 shares per contract.
|
Overlay Shares Foreign Equity ETF
|
||||||||||||||||
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets:
|
||||||||||||||||
Investments:
|
||||||||||||||||
Exchange Traded Funds
|
$
|
17,744,143
|
$
|
–
|
$
|
–
|
$
|
17,744,143
|
||||||||
Purchased Options
|
640
|
12,495
|
–
|
13,135
|
||||||||||||
Money Market Funds
|
17,275
|
–
|
–
|
17,275
|
||||||||||||
Total Investments
|
$
|
17,762,058
|
$
|
12,495
|
$
|
–
|
$
|
17,774,553
|
||||||||
Liabilities:
|
||||||||||||||||
Investments:
|
||||||||||||||||
Written Options
|
$
|
–
|
$
|
(43,560
|
)
|
$
|
–
|
$
|
(43,560
|
)
|
||||||
Total Investments
|
$
|
–
|
$
|
(43,560
|
)
|
$
|
–
|
$
|
(43,560
|
)
|
||||||