NPORT-EX 2 ovt.htm

Overlay Shares Short Term Bond ETF
  
Schedule of Investments
  
as of May 31, 2024 (Unaudited)
  
   
EXCHANGE TRADED FUNDS - 99.9%
    
Shares
    
Value
  
Vanguard Short-Term Corporate Bond ETF(a)(f)
      
586,363
    
$
45,226,179
  
TOTAL EXCHANGE TRADED FUNDS (Cost $47,931,074)
      
45,226,179
  
                       
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
    
11,082,771
      
21
      
1,680
  
Expiration: 06/03/2024; Exercise Price: $5,175.00(g)
    
11,082,771
      
21
      
525
  
Expiration: 06/07/2024; Exercise Price: $5,175.00(g)
    
11,610,522
      
22
      
8,250
  
Expiration: 06/14/2024; Exercise Price: $5,150.00(g)
    
11,082,771
      
21
      
23,415
  
Total Put Options
                    
33,870
  
TOTAL PURCHASED OPTIONS (Cost $106,792)
      
33,870
  
                         
SHORT-TERM INVESTMENTS - 0.0%(d)
                  
Money Market Funds - 0.0%(d)
    
Shares
          
First American Government Obligations Fund - Class X, 5.24%(e)
      
8,900
      
8,900
  
TOTAL SHORT-TERM INVESTMENTS (Cost $8,900)
      
8,900
  
                         
TOTAL INVESTMENTS - 100.0% (Cost $48,046,766)
    
$
45,268,949
  
Other Assets in Excess of Liabilities - 0.0%(d)
      
6,560
  
TOTAL NET ASSETS - 100.0%
                  
$
45,275,509
  
           
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 $28,603,352.
(g)
Held in connection with a written option, see Schedule of Written Options for more detail.
Overlay Shares Short Term 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
  
$
(11,082,771
)
    
(21
)
  
$
(18,480
)
Expiration: 06/07/2024; Exercise Price: $5,275.00
    
(11,610,522
)
    
(22
)
    
(52,800
)
Expiration: 06/14/2024; Exercise Price: $5,200.00
    
(11,082,771
)
    
(21
)
    
(39,165
)
Total Put Options
                    
(110,445
)
TOTAL WRITTEN OPTIONS (Premiums received $212,462)
                    
(110,445
)
                         
Percentages are stated as a percent of net assets.
                        

(a)
Exchange-traded.
(b)
100 shares per contract.

Overlay Shares Short Term Bond ETF
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
Investments:
                        
  Exchange Traded Funds
  
$
45,226,178
    
$
–
    
$
–
    
$
45,226,178
  
  Purchased Options
    
1,680
      
32,190
      
–
      
33,870
  
  Money Market Funds
    
8,900
      
–
      
–
      
8,900
  
Total Investments
  
$
45,236,759
    
$
32,190
    
$
–
    
$
45,268,949
  
                                 
Liabilities:
                                
Investments:
                                
  Written Options
  
$
–
    
$
(110,445
)
  
$
–
    
$
(110,445
)
Total Investments
  
$
–
    
$
(110,445
)
  
$
–
    
$
(110,445
)
   
Refer to the Schedule of Investments for industry classifications.