0001398344-24-008666.txt : 20240503 0001398344-24-008666.hdr.sgml : 20240503 20240503162748 ACCESSION NUMBER: 0001398344-24-008666 CONFORMED SUBMISSION TYPE: N-CSRS PUBLIC DOCUMENT COUNT: 11 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240503 DATE AS OF CHANGE: 20240503 EFFECTIVENESS DATE: 20240503 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Listed Funds Trust CENTRAL INDEX KEY: 0001683471 ORGANIZATION NAME: IRS NUMBER: 826272597 FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: N-CSRS SEC ACT: 1940 Act SEC FILE NUMBER: 811-23226 FILM NUMBER: 24913590 BUSINESS ADDRESS: STREET 1: 615 E. MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 BUSINESS PHONE: 414-765-5144 MAIL ADDRESS: STREET 1: 615 E. MICHIGAN STREET CITY: MILWAUKEE STATE: WI ZIP: 53202 FORMER COMPANY: FORMER CONFORMED NAME: Active Weighting Funds ETF Trust DATE OF NAME CHANGE: 20160830 0001683471 S000066484 Overlay Shares Large Cap Equity ETF C000214446 Overlay Shares Large Cap Equity ETF OVL 0001683471 S000066485 Overlay Shares Small Cap Equity ETF C000214447 Overlay Shares Small Cap Equity ETF OVS 0001683471 S000066486 Overlay Shares Foreign Equity ETF C000214448 Overlay Shares Foreign Equity ETF OVF 0001683471 S000066487 Overlay Shares Core Bond ETF C000214449 Overlay Shares Core Bond ETF OVB 0001683471 S000066488 Overlay Shares Municipal Bond ETF C000214450 Overlay Shares Municipal Bond ETF OVM 0001683471 S000070641 Overlay Shares Hedged Large Cap Equity ETF C000224380 Overlay Shares Hedged Large Cap Equity ETF OVLH 0001683471 S000070642 Overlay Shares Short Term Bond ETF C000224381 Overlay Shares Short Term Bond ETF OVT N-CSRS 1 fp0087612-1_ncsrs.htm

 

UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549

 

FORM N-CSR

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number (811-23226)

 

Listed Funds Trust
(Exact name of registrant as specified in charter)

 

615 East Michigan Street

 Milwaukee, WI 53202
(Address of principal executive offices) (Zip code)

 

Gregory C. Bakken, President

Listed Funds Trust

 c/o U.S. Bank Global Fund Services

777 East Wisconsin Avenue, 6th Floor

 Milwaukee, WI 53202

(Name and address of agent for service)

 

(414) 516-3097

 Registrant's telephone number, including area code

 

Date of fiscal year end: August 31

 

Date of reporting period: February 29, 2024

 

 

Item 1. Reports to Stockholders.

 

(a)

  

 

 

 

Overlay Shares ETFs

 

Overlay Shares Large Cap Equity ETF (OVL)
Overlay Shares Small Cap Equity ETF (OVS)
Overlay Shares Foreign Equity ETF (OVF)
Overlay Shares Hedged Large Cap Equity ETF (OVLH)
Overlay Shares Core Bond ETF (OVB)
Overlay Shares Short Term Bond ETF (OVT)
Overlay Shares Municipal Bond ETF (OVM)

 

 

 

SEMI-ANNUAL REPORT

 

February 29, 2024
(Unaudited)

 

 

 

Overlay Shares ETFs

Table of Contents

(Unaudited)

 

 

   

Schedules of Investments and Written Options

2

Overlay Shares Large Cap Equity ETF

2

Overlay Shares Small Cap Equity ETF

4

Overlay Shares Foreign Equity ETF

6

Overlay Shares Hedged Large Cap Equity ETF

8

Overlay Shares Core Bond ETF

9

Overlay Shares Short Term Bond ETF

11

Overlay Shares Municipal Bond ETF

13

Statements of Assets and Liabilities

15

Statements of Operations

17

Statements of Changes in Net Assets

19

Overlay Shares Large Cap Equity ETF

19

Overlay Shares Small Cap Equity ETF

20

Overlay Shares Foreign Equity ETF

21

Overlay Shares Hedged Large Cap Equity ETF

22

Overlay Shares Core Bond ETF

23

Overlay Shares Short Term Bond ETF

24

Overlay Shares Municipal Bond ETF

25

Financial Highlights

26

Notes to Financial Statements

32

Shareholder Expense Example

44

Supplemental Information

46

 

 

 

1

 

 

Overlay Shares Large Cap Equity ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

Vanguard S&P 500 ETF(a)(b)

            337,378     $ 157,531,910  

TOTAL EXCHANGE TRADED FUNDS (Cost $139,927,990)

                    157,531,910  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 38,731,652       76     $ 2,280  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    38,731,652       76       7,220  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    38,731,652       76       14,060  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    39,750,906       78       35,100  

Total Put Options

                    58,660  

TOTAL PURCHASED OPTIONS (Cost $122,506)

                    58,660  

 

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            262,565     $ 262,565  

TOTAL SHORT-TERM INVESTMENTS (Cost $262,565)

                    262,565  
                         

TOTAL INVESTMENTS — 99.9% (Cost $140,313,061)

                    157,853,135  

Other Assets in Excess of Liabilities — 0.1%

                    113,631  

TOTAL NET ASSETS — 100.0%

                  $ 157,966,766  

 

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 $25,201,613.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

The accompanying notes are an integral part of the financial statements.

 

2

 

 

Overlay Shares Large Cap Equity ETF

Schedule of Options Written

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.2)% (a)(b)

       

Put Options — (0.2)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (38,731,652 )     (76 )   $ (35,340 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (38,731,652 )     (76 )     (98,040 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (38,731,652 )     (76 )     (117,040 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (39,750,906 )     (78 )     (175,500 )

Total Put Options

                    (425,920 )

TOTAL OPTIONS WRITTEN (Premiums received $714,348)

          $ (425,920 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

3

 

 

Overlay Shares Small Cap Equity ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

iShares Core S&P Small-Cap ETF(a)(b)

            91,992     $ 9,875,341  

TOTAL EXCHANGE TRADED FUNDS (Cost $9,479,720)

                    9,875,341  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 2,548,135       5     $ 150  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    2,548,135       5       475  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    2,038,508       4       740  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    2,548,135       5       2,250  

Total Put Options

                    3,615  

TOTAL PURCHASED OPTIONS (Cost $7,549)

                    3,615  
                         

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            17,384     $ 17,384  

TOTAL SHORT-TERM INVESTMENTS (Cost $17,384)

                    17,384  
                         

TOTAL INVESTMENTS — 99.9% (Cost $9,504,653)

                    9,896,340  

Other Assets in Excess of Liabilities — 0.1%

                    6,359  

TOTAL NET ASSETS — 100.0%

                  $ 9,902,699  

 

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 $6,716,138.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

The accompanying notes are an integral part of the financial statements.

 

4

 

 

Overlay Shares Small Cap Equity ETF

Schedule of Written Options

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.2)% (a)(b)

       

Put Options — (0.2)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (2,548,135 )     (5 )   $ (2,325 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (2,548,135 )     (5 )     (6,450 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (2,038,508 )     (4 )     (6,160 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (2,548,135 )     (5 )     (11,250 )

Total Put Options

                    (26,185 )

TOTAL OPTIONS WRITTEN (Premiums received $43,992)

          $ (26,185 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

5

 

 

Overlay Shares Foreign Equity ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

iShares Core MSCI EAFE ETF(a)(b)

            194,489     $ 13,964,311  

iShares Core MSCI Emerging Markets ETF(b)

            68,268       3,436,611  

TOTAL EXCHANGE TRADED FUNDS (Cost $16,151,675)

                    17,400,922  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 4,077,016       8     $ 240  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    4,586,643       9       855  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    4,077,016       8       1,480  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    4,586,643       9       4,050  

Total Put Options

                    6,625  

TOTAL PURCHASED OPTIONS (Cost $13,608)

                    6,625  

 

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            42,360     $ 42,360  

TOTAL SHORT-TERM INVESTMENTS (Cost $42,360)

                    42,360  
                         

TOTAL INVESTMENTS — 99.9% (Cost $16,207,643)

                    17,449,907  

Other Assets in Excess of Liabilities — 0.1%

                    853  

TOTAL NET ASSETS — 100.0%

                  $ 17,450,760  

 

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 $14,732,599.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

 

The accompanying notes are an integral part of the financial statements.

 

6

 

 

Overlay Shares Foreign Equity ETF

Schedule of Written Options

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.2)% (a)(b)

       

Put Options — (0.2)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (4,077,016 )     (8 )   $ (3,720 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (4,586,643 )     (9 )     (11,610 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (4,077,016 )     (8 )     (12,320 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (4,586,643 )     (9 )     (20,250 )

Total Put Options

                    (47,900 )

TOTAL OPTIONS WRITTEN (Premiums received $79,317)

          $ (47,900 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

7

 

 

Overlay Shares Hedged Large Cap Equity ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 95.8%

       

Vanguard S&P 500 ETF(a)(b)

            49,347     $ 23,041,594  

TOTAL EXCHANGE TRADED FUNDS (Cost $18,293,468)

                    23,041,594  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 2.3%(c)(d)

       

Put Options — 2.3%

               

S&P 500 Index

                       

Expiration: 06/21/2024; Exercise Price: $4,700.00

  $ 5,096,270       10     $ 34,900  

Expiration: 12/20/2024; Exercise Price: $4,700.00

    5,096,270       10       106,800  

Expiration: 01/17/2025; Exercise Price: $4,700.00

    5,096,270       10       113,800  

Expiration: 03/21/2025; Exercise Price: $4,700.00

    5,096,270       10       134,300  

Expiration: 06/20/2025; Exercise Price: $4,700.00

    5,096,270       10       159,150  

Total Put Options

                    548,950  

TOTAL PURCHASED OPTIONS (Cost $559,678)

                    548,950  
                         

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 1.6%

       

Money Market Funds — 1.6%

                       

First American Government Obligations Fund - Class X, 5.23%(e)

            387,966     $ 387,966  

TOTAL SHORT-TERM INVESTMENTS (Cost $387,966)

                    387,966  
                         

TOTAL INVESTMENTS — 99.7% (Cost $19,241,112)

                    23,978,510  

Other Assets in Excess of Liabilities — 0.3%

                    80,058  

TOTAL NET ASSETS — 100.0%

                  $ 24,058,568  

 

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 $5,221,678.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

The accompanying notes are an integral part of the financial statements.

 

8

 

 

Overlay Shares Core Bond ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

iShares Core U.S. Aggregate Bond ETF(a)(b)

            493,236     $ 48,016,524  

TOTAL EXCHANGE TRADED FUNDS (Cost $56,165,862)

                    48,016,524  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 12,231,048       24     $ 720  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    12,231,048       24       2,280  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    10,702,167       21       3,885  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    12,740,675       25       11,250  

Total Put Options

                    18,135  

TOTAL PURCHASED OPTIONS (Cost $37,496)

                    18,135  

 

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            81,838     $ 81,838  

TOTAL SHORT-TERM INVESTMENTS (Cost $81,838)

                    81,838  
                         

TOTAL INVESTMENTS — 99.9% (Cost $56,285,196)

                    48,116,497  

Other Assets in Excess of Liabilities — 0.1%

                    30,627  

TOTAL NET ASSETS — 100.0%

                  $ 48,147,124  

 

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 $3,043,940.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

The accompanying notes are an integral part of the financial statements.

 

9

 

 

Overlay Shares Core Bond ETF

Schedule of Written Options

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.2)% (a)(b)

       

Put Options — (0.2)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (12,231,048 )     (24 )   $ (11,160 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (12,231,048 )     (24 )     (30,960 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (10,702,167 )     (21 )     (32,340 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (12,740,675 )     (25 )     (56,250 )

Total Put Options

                    (130,710 )

TOTAL OPTIONS WRITTEN (Premiums received $218,337)

          $ (130,710 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

10

 

 

Overlay Shares Short Term Bond ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

Vanguard Short-Term Corporate Bond ETF(a)(b)

            633,667     $ 48,811,369  

TOTAL EXCHANGE TRADED FUNDS (Cost $51,777,586)

                    48,811,369  
                         

 

 

Notional
Amount

   

Contracts

   


Value

 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 12,231,048       24     $ 720  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    12,231,048       24       2,280  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    12,231,048       24       4,440  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    12,231,048       24       10,800  

Total Put Options

                    18,240  

TOTAL PURCHASED OPTIONS (Cost $38,401)

                    18,240  
                         

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

               

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            75,884     $ 75,884  

TOTAL SHORT-TERM INVESTMENTS (Cost $75,884)

                    75,884  
                         

TOTAL INVESTMENTS — 99.9% (Cost $51,891,871)

                    48,905,493  

Other Assets in Excess of Liabilities — 0.1%

                    24,721  

TOTAL NET ASSETS — 100.0%

                  $ 48,930,214  

 

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 $32,210,095.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

The accompanying notes are an integral part of the financial statements.

 

11

 

 

Overlay Shares Short Term Bond ETF

Schedule of Written Options

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.2)% (a)(b)

       

Put Options — (0.2)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (12,231,048 )     (24 )   $ (11,160 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (12,231,048 )     (24 )     (30,960 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (12,231,048 )     (24 )     (36,960 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (12,231,048 )     (24 )     (54,000 )

Total Put Options

                    (133,080 )

TOTAL OPTIONS WRITTEN (Premiums received $224,122)

          $ (133,080 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

12

 

 

Overlay Shares Municipal Bond ETF

Schedule of Investments

February 29, 2024 (Unaudited)

 

 

 

 

 

 

   

Shares

   

Value

 

EXCHANGE TRADED FUNDS — 99.7%

       

iShares National Muni Bond ETF(a)(b)

            192,947     $ 20,832,487  

TOTAL EXCHANGE TRADED FUNDS (Cost $21,537,197)

                    20,832,487  
                         

 

 

Notional
Amount

   

Contracts

   


 

PURCHASED OPTIONS — 0.0%(c)(d)

       

Put Options — 0.0%(e)

               

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $4,900.00(g)

  $ 5,096,270       10     $ 300  

Expiration: 03/06/2024; Exercise Price: $4,910.00(g)

    5,096,270       10       950  

Expiration: 03/08/2024; Exercise Price: $4,900.00(g)

    5,096,270       10       1,850  

Expiration: 03/13/2024; Exercise Price: $4,900.00(g)

    5,096,270       10       4,500  

Total Put Options

                    7,600  

TOTAL PURCHASED OPTIONS (Cost $16,000)

                    7,600  

 

 

 

 

   

Shares

   

Value

 

SHORT-TERM INVESTMENTS — 0.2%

       

Money Market Funds — 0.2%

                       

First American Government Obligations Fund - Class X, 5.23%(f)

            46,754     $ 46,754  

TOTAL SHORT-TERM INVESTMENTS (Cost $46,754)

                    46,754  
                         

TOTAL INVESTMENTS — 99.9% (Cost $21,599,951)

                    20,886,841  

Other Assets in Excess of Liabilities — 0.1%

                    7,776  

TOTAL NET ASSETS — 100.0%

                  $ 20,894,617  

 

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 $11,858,237.

 

(c)

Exchange-traded.

 

(d)

100 shares per contract.

 

(e)

Represents less than 0.05% of net assets.

 

(f)

The rate shown represents the 7-day effective yield as of February 29, 2024.

 

(g)

Held in connection with a written option, see Schedule of Written Options for more detail.

 

The accompanying notes are an integral part of the financial statements.

 

13

 

 

Overlay Shares Municipal Bond ETF

Schedule of Written Options

February 29, 2024 (Unaudited)

 

 

 

 

Notional
Amount

   

Contracts

   


Value

 

OPTIONS WRITTEN — (0.3)% (a)(b)

       

Put Options — (0.3)%

S&P 500 Index

                       

Expiration: 03/04/2024; Exercise Price: $5,050.00

  $ (5,096,270 )     (10 )   $ (4,650 )

Expiration: 03/06/2024; Exercise Price: $5,060.00

    (5,096,270 )     (10 )     (12,900 )

Expiration: 03/08/2024; Exercise Price: $5,050.00

    (5,096,270 )     (10 )     (15,400 )

Expiration: 03/13/2024; Exercise Price: $5,050.00

    (5,096,270 )     (10 )     (22,500 )

Total Put Options

                    (55,450 )

TOTAL OPTIONS WRITTEN (Premiums received $93,384)

          $ (55,450 )

 

Percentages are stated as a percent of net assets.

 

(a)

Exchange-traded.

 

(b)

100 shares per contract.

 

The accompanying notes are an integral part of the financial statements.

 

14

 

 

Overlay Shares ETFs

Statements of Assets and Liabilities

February 29, 2024 (Unaudited)

 

 

   

Overlay Shares
Large Cap
Equity ETF

   

Overlay Shares
Small Cap
Equity ETF

   

Overlay
Shares Foreign
Equity ETF

   

Overlay Shares
Hedged Large
Cap Equity ETF

 

Assets

                               

Investments, at value(1)

  $ 157,853,135     $ 9,896,340     $ 17,449,907     $ 23,978,510  

Cash

                       

Receivable for investment securities sold

    180,489       11,570       20,826        

Deposits at broker for options

    492,576       29,707       43,124       109,258  

Interest receivable

    691       63       118       1,244  

Total assets

    158,526,891       9,937,680       17,513,975       24,089,012  
                                 

Liabilities

                               

Payable to Adviser

    87,470       5,781       9,888       30,444  

Written options, at value(2)

    425,920       26,185       47,900        

Payable for investment securities purchased

    46,660       3,010       5,419        

Accrued broker commission expense

    75       5       8        

Total liabilities

    560,125       34,981       63,215       30,444  

Net Assets

  $ 157,966,766     $ 9,902,699     $ 17,450,760     $ 24,058,568  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 139,686,749     $ 9,774,230     $ 17,494,760     $ 11,728,867  

Total distributable earnings

    18,280,017       128,469       (44,000 )     12,329,701  

Net Assets

  $ 157,966,766     $ 9,902,699     $ 17,450,760     $ 24,058,568  
                                 

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    3,860,000       300,000       730,000       790,000  

Net asset value, redemption price and offering price per share

  $ 40.92     $ 33.01     $ 23.91     $ 30.45  
                                 

(1) Cost of investments

  $ 140,313,061     $ 9,504,653     $ 16,207,643     $ 19,241,112  

(2) Premiums received

    714,348       43,992       79,317        

 

 

The accompanying notes are an integral part of the financial statements.

 

15

 

 

Overlay Shares ETFs

Statements of Assets and Liabilities

February 29, 2024 (Unaudited)

 

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Assets

                       

Investments, at value(1)

  $ 48,116,497     $ 48,905,493     $ 20,886,841  

Cash

    13,866              

Receivable for investment securities sold

    470,263             23,140  

Deposits at broker for options

    131,527       151,425       53,494  

Interest receivable

    488       55,938       447,117  

Total assets

    48,732,641       49,112,856       21,410,592  
                         

Liabilities

                       

Payable to Adviser

    28,526       35,087       9,014  

Written options, at value(2)

    130,710       133,080       55,450  

Payable for investment securities purchased

    426,258       14,450       451,505  

Accrued broker commission expense

    23       25       6  

Total liabilities

    585,517       182,642       515,975  

Net Assets

  $ 48,147,124     $ 48,930,214     $ 20,894,617  
                         

Net Assets Consists of:

                       

Paid-in capital

  $ 59,669,219     $ 52,931,520     $ 21,939,231  

Total distributable earnings

    (11,522,095 )     (4,001,306 )     (1,044,614 )

Net Assets

  $ 48,147,124     $ 48,930,214     $ 20,894,617  
                         

Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value)

    2,335,000       2,220,000       935,000  

Net asset value, redemption price and offering price per share

  $ 20.62     $ 22.04     $ 22.35  
                         

(1) Cost of investments

  $ 56,285,196     $ 51,891,871     $ 21,599,951  

(2) Premiums received

    218,337       224,122       93,384  

 

 

The accompanying notes are an integral part of the financial statements.

 

16

 

 

Overlay Shares ETFs

Statements of Operations

For the Six Months Ended February 29, 2024 (Unaudited)

 

 

   

Overlay Shares
Large Cap
Equity ETF

   

Overlay Shares
Small Cap
Equity ETF

   

Overlay
Shares Foreign
Equity ETF

   

Overlay Shares
Hedged Large
Cap Equity ETF

 

Investment Income

                               

Dividend income

  $ 1,153,232     $ 61,973     $ 240,942     $ 707,980  

Interest income

    27,526       1,505       2,543       22,586  

Total investment income

    1,180,758       63,478       243,485       730,566  
                                 

Expenses

                               

Investment advisory fees

    539,438       31,737       57,738       316,899  

Interest expense

    16,633       1,406       1,918       41,071  

Total expenses

    556,071       33,143       59,656       357,970  

Net Investment Income

    624,687       30,335       183,829       372,596  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    7,426,308       (76,668 )     7,158       14,037,244  

Purchased options

    (2,426,611 )     (132,942 )     (247,773 )     (2,797,900 )

Written options

    5,093,145       304,738       542,785       49,484  

Net realized gain

    10,092,842       95,128       302,170       11,288,828  

Net change in unrealized appreciation/depreciation on:

                               

Investments

    9,897,409       623,318       912,238       (4,456,119 )

Purchased options

    (53,905 )     (3,304 )     (5,777 )     202,737  

Written options

    286,363       17,547       31,038       (1,287 )

Net change in unrealized appreciation/depreciation

    10,129,867       637,561       937,499       (4,254,669 )

Net realized and unrealized gain (loss) on investments

    20,222,709       732,689       1,239,669       7,034,159  

Net increase (decrease) in net assets from operations

  $ 20,847,396     $ 763,024     $ 1,423,498     $ 7,406,755  

 

 

The accompanying notes are an integral part of the financial statements.

 

17

 

 

Overlay Shares ETFs

Statements of Operations

For the Six Months Ended February 29, 2024 (Unaudited)

 

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Investment Income

                       

Dividend income

  $ 787,081     $ 1,032,450     $ 193,437  

Interest income

    7,255       9,858       2,346  

Total investment income

    794,336       1,042,308       195,783  
                         

Expenses

                       

Investment advisory fees

    172,829       220,961       51,906  

Interest expense

    5,447       6,351       1,872  

Total expenses

    178,276       227,312       53,778  

Net Investment Income

    616,060       814,996       142,005  
                         

Realized and Unrealized Gain (Loss) on Investments

                       

Net realized gain (loss) on:

                       

Investments

    (692,274 )     (263,150 )     (158,837 )

Purchased options

    (763,092 )     (1,006,384 )     (222,856 )

Written options

    1,681,079       2,122,104       468,189  

Net realized gain

    225,713       852,570       86,496  

Net change in unrealized appreciation/depreciation on:

                       

Investments

    915,783       1,159,200       434,575  

Purchased options

    (16,192 )     (16,127 )     (7,537 )

Written options

    86,969       90,203       37,754  

Net change in unrealized appreciation/depreciation

    986,560       1,233,276       464,792  

Net realized and unrealized gain (loss) on investments

    1,212,273       2,085,846       551,288  

Net increase (decrease) in net assets from operations

  $ 1,828,333     $ 2,900,842     $ 693,293  

 

 

The accompanying notes are an integral part of the financial statements.

 

18

 

 

Overlay Shares Large Cap Equity ETF

Statements of Changes in Net Assets

 

 

 

 

 

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 624,687     $ 1,750,290  

Net realized gain (loss) on investments, purchased options and written options

    10,092,842       12,709,721  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    10,129,867       7,522,857  

Net increase in net assets resulting from operations

    20,847,396       21,982,868  
                 

From Distributions

               

Distributable earnings

    (2,597,506 )(1)     (1,750,290 )

Return of capital

          (4,973,271 )

Total distributions

    (2,597,506 )     (6,723,561 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    66,060,203       25,081,212  

Cost of shares redeemed

    (84,208,420 )     (131,408,340 )

Net (decrease) in net assets resulting from capital share transactions

    (18,148,217 )     (106,327,128 )
                 

Total Increase (Decrease) in Net Assets

    101,673       (91,067,821 )
                 

Net Assets

               

Beginning of period

    157,865,093       248,932,914  

End of period

  $ 157,966,766     $ 157,865,093  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    4,375,000       7,725,000  

Shares sold

    1,775,000       775,000  

Shares redeemed

    (2,290,000 )     (4,125,000 )

Shares outstanding, end of period

    3,860,000       4,375,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

 

The accompanying notes are an integral part of the financial statements.

 

19

 

 

Overlay Shares Small Cap Equity ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 30,335     $ 60,546  

Net realized gain (loss) on investments, purchased options and written options

    95,128       (2,583 )

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    637,561       356,458  

Net increase in net assets resulting from operations

    763,024       414,421  
                 

From Distributions

               

Distributable earnings

    (146,575 )(1)     (56,417 )

Return of capital

          (208,142 )

Total distributions

    (146,575 )     (264,559 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    1,571,248        

Cost of shares redeemed

           

Net increase in net assets resulting from capital share transactions

    1,571,248        
                 

Total Increase (Decrease) in Net Assets

    2,187,697       149,862  
                 

Net Assets

               

Beginning of period

    7,715,002       7,565,140  

End of period

  $ 9,902,699     $ 7,715,002  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    250,000       250,000  

Shares sold

    50,000        

Shares redeemed

           

Shares outstanding, end of period

    300,000       250,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

20

 

 

Overlay Shares Foreign Equity ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 183,829     $ 291,825  

Net realized gain (loss) on investments, purchased options and written options

    302,170       (1,004,141 )

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    937,499       2,198,625  

Net increase in net assets resulting from operations

    1,423,498       1,486,309  
                 

From Distributions

               

Distributable earnings

    (397,161 )(1)     (291,825 )

Return of capital

          (391,558 )

Total distributions

    (397,161 )     (683,383 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    2,389,485       5,472,520  

Cost of shares redeemed

    (2,734,832 )     (551,547 )

Net increase (decrease) in net assets resulting from capital share transactions

    (345,347 )     4,920,973  
                 

Total Increase (Decrease) in Net Assets

    680,990       5,723,899  
                 

Net Assets

               

Beginning of period

    16,769,770       11,045,871  

End of period

  $ 17,450,760     $ 16,769,770  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    750,000       525,000  

Shares sold

    105,000       250,000  

Shares redeemed

    (125,000 )     (25,000 )

Shares outstanding, end of period

    730,000       750,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

21

 

 

Overlay Shares Hedged Large Cap Equity ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 372,596     $ 588,458  

Net realized gain (loss) on investments, purchased options and written options

    11,288,828       (2,442,440 )

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    (4,254,669 )     10,951,817  

Net increase in net assets resulting from operations

    7,406,755       9,097,835  
                 

From Distributions

               

Distributable earnings

    (769,207 )(1)     (448,363 )

Return of capital

           

Total distributions

    (769,207 )     (448,363 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    10,190,706       78,559,785  

Cost of shares redeemed

    (89,303,938 )     (16,840,295 )

Net increase (decrease) in net assets resulting from capital share transactions

    (79,113,232 )     61,719,490  
                 

Total Increase (Decrease) in Net Assets

    (72,475,684 )     70,368,962  
                 

Net Assets

               

Beginning of period

    96,534,252       26,165,290  

End of period

  $ 24,058,568     $ 96,534,252  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    3,450,000       1,025,000  

Shares sold

    345,000       3,075,000  

Shares redeemed

    (3,005,000 )     (650,000 )

Shares outstanding, end of period

    790,000       3,450,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

22

 

 

Overlay Shares Core Bond ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 616,060     $ 1,076,621  

Net realized gain (loss) on investments, purchased options and written options

    225,713       (3,117,557 )

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    986,560       1,007,489  

Net increase (decrease) in net assets resulting from operations

    1,828,333       (1,033,447 )
                 

From Distributions

               

Distributable earnings

    (1,236,567 )(1)     (1,076,621 )

Return of capital

          (1,397,413 )

Total distributions

    (1,236,567 )     (2,474,034 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    6,539,595       9,835,138  

Cost of shares redeemed

    (8,389,199 )     (21,556,487 )

Net increase (decrease) in net assets resulting from capital share transactions

    (1,849,604 )     (11,721,349 )
                 

Total Increase (Decrease) in Net Assets

    (1,257,838 )     (15,228,830 )
                 

Net Assets

               

Beginning of period

    49,404,962       64,633,792  

End of period

  $ 48,147,124     $ 49,404,962  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    2,425,000       3,000,000  

Shares sold

    325,000       475,000  

Shares redeemed

    (415,000 )     (1,050,000 )

Shares outstanding, end of period

    2,335,000       2,425,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

23

 

 

Overlay Shares Short Term Bond ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 814,996     $ 1,115,579  

Net realized gain (loss) on investments, purchased options and written options

    852,570       55,672  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    1,233,276       393,092  

Net increase (decrease) in net assets resulting from operations

    2,900,842       1,564,343  
                 

From Distributions

               

Distributable earnings

    (1,607,331 )(1)     (1,115,579 )

Return of capital

          (1,508,829 )

Total distributions

    (1,607,331 )     (2,624,408 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    16,555,185       12,363,260  

Cost of shares redeemed

    (32,440,322 )     (5,896,882 )

Net increase (decrease) in net assets resulting from capital share transactions

    (15,885,137 )     6,466,378  
                 

Total Increase (Decrease) in Net Assets

    (14,591,626 )     5,406,313  
                 

Net Assets

               

Beginning of period

    63,521,840       58,115,527  

End of period

  $ 48,930,214     $ 63,521,840  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    2,950,000       2,650,000  

Shares sold

    760,000       575,000  

Shares redeemed

    (1,490,000 )     (275,000 )

Shares outstanding, end of period

    2,220,000       2,950,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

24

 

 

Overlay Shares Municipal Bond ETF

Statements of Changes in Net Assets

 

 

 

   

Period Ended
February 29,
2024
(Unaudited)

   

Year Ended
August 31,
2023

 

From Operations

               

Net investment income

  $ 142,005     $ 250,765  

Net realized gain (loss) on investments, purchased options and written options

    86,496       47,961  

Net change in unrealized appreciation/depreciation on investments, purchased options and written options

    464,792       97,017  

Net increase (decrease) in net assets resulting from operations

    693,293       395,743  
                 

From Distributions

               

Distributable earnings

    (331,570 )(1)     (250,765 )

Return of capital

          (384,355 )

Total distributions

    (331,570 )     (635,120 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    7,886,915       4,848,670  

Cost of shares redeemed

    (2,003,533 )     (4,881,588 )

Net increase (decrease) in net assets resulting from capital share transactions

    5,883,382       (32,918 )
                 

Total Increase (Decrease) in Net Assets

    6,245,105       (272,295 )
                 

Net Assets

               

Beginning of period

    14,649,512       14,921,807  

End of period

  $ 20,894,617     $ 14,649,512  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    675,000       675,000  

Shares sold

    355,000       225,000  

Shares redeemed

    (95,000 )     (225,000 )

Shares outstanding, end of period

    935,000       675,000  

 

(1)

All or a portion of this distribution may be reclassified at year-end through tax adjustments.

 

The accompanying notes are an integral part of the financial statements.

 

25

 

 

Overlay Shares ETFs

Financial Highlights

 

   

Per Share
Operating
Performance
(For a share
outstanding
throughout
each period)

 
           

Income
(Loss) from
Investment
Operations:

   

Less
Distributions
Paid:

 
   

Net Asset Value,
Beginning
of Period

   

Net investment
income
(1)

   

Net realized
and unrealized
gain (loss) on
investments

   

Total from
investment
operations

   

From Net
investment
income

   

From Net
realized gains

 

Overlay Shares Large Cap Equity ETF

                                       

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 36.08       0.16       5.32       5.48       (0.64 )      

For the year 09/01/2022 - 08/31/2023

  $ 32.22       0.32       4.73       5.05       (0.23 )      

For the year 09/01/2021 - 08/31/2022

  $ 39.21       0.23       (5.74 )     (5.51 )     (0.30 )     (0.57 )

For the year 09/01/2020 - 08/31/2021

  $ 30.08       0.22       10.16       10.38       (0.87 )     (0.38 )

For the period 09/30/2019(18) - 08/31/2020

  $ 25.00       0.20       5.15       5.35       (0.23 )     (0.04 )

Overlay Shares Small Cap Equity ETF

                                       

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 30.86       0.11       2.57       2.68       (0.53 )      

For the year 09/01/2022 - 08/31/2023

  $ 30.26       0.24       1.42       1.66       (0.23 )      

For the year 09/01/2021 - 08/31/2022

  $ 37.20       0.25       (5.77 )     (5.52 )     (0.34 )     (0.34 )

For the year 09/01/2020 - 08/31/2021

  $ 24.27       0.08       13.83       13.91       (0.89 )     (0.09 )

For the period 09/30/2019(18) - 08/31/2020

  $ 25.00       0.19       (0.68 )(19)     (0.49 )     (0.18 )     (0.06 )

Overlay Shares Foreign Equity ETF

                                       

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 22.36       0.26       1.86       2.12       (0.57 )      

For the year 09/01/2022 - 08/31/2023

  $ 21.04       0.45       1.89       2.34       (0.48 )      

For the year 09/01/2021 - 08/31/2022

  $ 27.84       0.44       (6.04 )     (5.60 )     (0.54 )     (0.14 )

For the year 09/01/2020 - 08/31/2021

  $ 24.13       0.33       4.39       4.72       (1.01 )      

For the period 09/30/2019(18) - 08/31/2020

  $ 25.00       0.73       (0.73 )(19)     0.00       (0.80 )     (0.05 )

  

(1)

Per share net investment income was calculated using average shares outstanding.

 

(2)

Annualized for periods less than one year.

 

(3)

Does not include income and expenses of investment companies in which the Fund invests.

 

(4)

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund.

 

(5)

Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca Stock Exchange. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the NYSE Arca Stock Exchange.

 

(6)

Not annualized for periods less than one year.

 

(7)

Excludes in-kind transactions associated with creations and redemptions of the Fund.

 

The accompanying notes are an integral part of the financial statements.

 

26

 

 

 

 

Per Share
Operating
Performance
(For a share
outstanding
throughout
each period)

   

Ratios/
Supplemental
Data

 
 

Less
Distributions
Paid:

                                   

Ratios to
Average Net
Assets of:
(2)(3)

         
 

From Return
of capital

   

Total
distributions
paid

   

Net Asset Value,
End of Period

   

Total return,
at NAV
(4)(6)

   

Total return,
at Market
(5)(6)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net
investment
income (loss)

   

Portfolio
turnover
rate
(6)(7)

 
                                                                       
          (0.64 )   $ 40.92       15.48%       15.60%     $ 157,967       0.80 %(10)     0.87 %     8 %
    (0.96 )     (1.19 )   $ 36.08       16.19%       16.02%     $ 157,865       0.84 %(15)     0.98 %     1 %
    (0.61 )     (1.48 )   $ 32.22       (14.53 )%     (14.41 )%   $ 248,933       0.77 %(10)     0.65 %     5 %
          (1.25 )   $ 39.21       35.36%       34.77 %   $ 200,959       0.77 %(10)     0.66 %     6 %
          (0.27 )   $ 30.08       21.62%       22.22 %   $ 97,768       0.76 %(9)     0.85 %     4 %
                                                                       
          (0.53 )   $ 33.01       8.88 %     9.04 %   $ 9,903       0.82 %(11)     0.72 %     5 %
    (0.83 )     (1.06 )   $ 30.86       5.75 %     5.75 %   $ 7,715       0.82 %(14)     0.81 %     2 %
    (0.74 )     (1.42 )   $ 30.26       (15.30 )%     (15.47 )%   $ 7,565       0.78 %(11)     0.74 %     5 %
          (0.98 )   $ 37.20       58.12 %     58.46 %   $ 6,510       0.77 %(10)     0.25 %     6 %
          (0.24 )   $ 24.27       (1.93 )%     (1.87 )%   $ 3,034       0.76 %(9)     0.90 %     6 %
                                                                       
          (0.57 )   $ 23.91       9.57 %     9.52 %   $ 17,451       0.80 %(10)     2.38 %     6 %
    (0.54 )     (1.02 )   $ 22.36       11.35 %     11.39 %   $ 16,770       0.80 %(12)     2.04 %     117 %
    (0.52 )     (1.20 )   $ 21.04       (20.64 )%     (20.53 )%   $ 11,046       0.78 %(11)     1.79 %     8 %
          (1.01 )   $ 27.84       19.82 %     20.24 %   $ 6,960       0.77 %(10)     1.28 %     10 %
    (0.02 )     (0.87 )   $ 24.13       (0.03 )%     (0.41 )%   $ 4,223       0.76 %(9)     3.42 %     8 %

 

(8)

The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period

 

(9)

Includes interest expense of 0.01%.

 

(10)

Includes interest expense of 0.02%.

 

(11)

Includes interest expense of 0.03%.

 

(12)

Includes interest expense of 0.05%.

 

(13)

Includes interest expense of 0.06%.

 

(14)

Includes interest expense of 0.07%.

 

(15)

Includes interest expense of 0.09%.

 

(16)

Includes interest expense of 0.10%.

 

(17)

Includes interest expense of 0.15%.

 

(18)

Inception Date.

 

(19)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

 

The accompanying notes are an integral part of the financial statements.

 

27

 

 

Overlay Shares ETFs

Financial Highlights

 

   

Per Share
Operating
Performance
(For a share
outstanding
throughout
each period)

 
           

Income
(Loss) from
Investment
Operations:

   

Less
Distributions
Paid:

 

 

 

Net Asset
Value,
Beginning
of Period

   

Net
investment
income
(1)

   

Net realized
and unrealized
gain (loss) on
investments

   

Total from
investment
operations

   

From Net
investment
income

   

From Net
realized gains

   

From
Return of
capital

 

Overlay Shares Hedged Large Cap Equity ETF

                                               

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 27.98       0.12       2.59       2.71       (0.24 )            

For the year 09/01/2022 - 08/31/2023

  $ 25.53       0.23       2.42       2.65       (0.15 )     (0.05 )      

For the year 09/01/2021 - 08/31/2022

  $ 28.97       0.14       (3.46 )     (3.32 )     (0.12 )            

For the period 01/14/2021(18) - 08/31/2021

  $ 25.00       0.04       3.93       3.97                    

Overlay Shares Core Bond ETF

                                               

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 20.37       0.27       0.52       0.79       (0.54 )            

For the year 09/01/2022 - 08/31/2023

  $ 21.54       0.44       (0.59 )(19)     (0.15 )     (0.42 )           (0.60 )

For the year 09/01/2021 - 08/31/2022

  $ 26.40       0.26       (3.99 )     (3.73 )     (0.23 )     (0.43 )     (0.47 )

For the year 09/01/2020 - 08/31/2021

  $ 26.61       0.27       0.52       0.79       (0.83 )     (0.17 )      

For the period 09/30/2019(18) - 08/31/2020

  $ 25.00       0.35       1.92       2.27       (0.62 )     (0.04 )      

  

(1)

Per share net investment income was calculated using average shares outstanding.

 

(2)

Annualized for periods less than one year.

 

(3)

Does not include income and expenses of investment companies in which the Fund invests.

 

(4)

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund.

 

(5)

Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca Stock Exchange. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the NYSE Arca Stock Exchange.

 

(6)

Not annualized for periods less than one year.

 

(7)

Excludes in-kind transactions associated with creations and redemptions of the Fund.

 

The accompanying notes are an integral part of the financial statements.

 

28

 

 

 

 

Per Share Operating
Performance
(For a share
outstanding
throughout
each period)

   

Ratios/
Supplemental
Data

 
 

Less Distributions
Paid:

                                   

Ratios to
Average Net
Assets of:
(2)(3)

         
 

Total
distributions paid

   

Net Asset Value,
End of Period

   

Total return,
at NAV
(4)(6)

   

Total return, at
Market
(5)(6)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net investment
income (loss)

   

Portfolio
turnover
rate
(6)(7)

 
                                                               
    (0.24 )   $ 30.45       9.74 %     9.81 %   $ 24,059       0.94 %(16)     0.88 %     6 %
    (0.20 )   $ 27.98       10.49 %     10.32 %   $ 96,534       0.90 %(17)     0.86 %     5 %
    (0.12 )   $ 25.53       (11.54 )%     (11.47 )%   $ 26,165       0.85 %(16)     0.51 %     24 %
        $ 28.97       15.89 %(8)     16.05 %(8)   $ 12,313       0.81 %(13)     0.26 %     13 %
                                                               
    (0.54 )   $ 20.62       4.01 %     3.98 %   $ 48,147       0.80 %(10)     2.67 %     6 %
    (1.02 )   $ 20.37       (0.63 )%     (0.56 )%   $ 49,405       0.84 %(15)     2.13 %     3 %
    (1.13 )   $ 21.54       (14.56 )%     (14.82 )%   $ 64,634       0.77 %(10)     1.07 %     6 %
    (1.00 )   $ 26.40       3.13 %     3.25 %   $ 143,901       0.77 %(10)     1.03 %     7 %
    (0.66 )   $ 26.61       9.22 %     9.38 %   $ 113,744       0.76 %(9)     1.46 %     5 %

 

(8)

The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period

 

(9)

Includes interest expense of 0.01%.

 

(10)

Includes interest expense of 0.02%.

 

(11)

Includes interest expense of 0.03%.

 

(12)

Includes interest expense of 0.05%.

 

(13)

Includes interest expense of 0.06%.

 

(14)

Includes interest expense of 0.07%.

 

(15)

Includes interest expense of 0.09%.

 

(16)

Includes interest expense of 0.10%.

 

(17)

Includes interest expense of 0.15%.

 

(18)

Inception Date.

 

(19)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

 

The accompanying notes are an integral part of the financial statements.

 

29

 

 

Overlay Shares ETFs

Financial Highlights

 

   

Per Share
Operating
Performance
(For a share
outstanding
throughout
each period)

 
           

Income
(Loss) from
Investment
Operations:

   

Less
Distributions
Paid:

 
   

Net Asset
Value,
Beginning
of Period

   

Net
investment
income
(1)

   

Net realized
and unrealized
gain (loss) on
investments

   

Total from
investment
operations

   

From Net
investment
income

   

From Net
realized gains

   

From
Return of
capital

 

Overlay Shares Short Term Bond ETF

                                               

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 21.53       0.30       0.80       1.10       (0.59 )            

For the year 09/01/2022 - 08/31/2023

  $ 21.93       0.42       0.17       0.59       (0.44 )           (0.55 )

For the year 09/01/2021 - 08/31/2022

  $ 25.30       0.20       (2.52 )     (2.32 )     (0.27 )     (0.30 )     (0.48 )

For the period 01/14/2021(18) - 08/31/2021

  $ 25.00       0.11       0.62       0.73       (0.43 )            

Overlay Shares Municipal Bond ETF

                                               

For the period 09/01/2023 - 02/29/2024 (Unaudited)

  $ 21.70       0.22       0.95       1.17       (0.52 )            

For the year 09/01/2022 - 08/31/2023

  $ 22.11       0.39       0.18 (19)      0.57       (0.38 )           (0.60 )

For the year 09/01/2021 - 08/31/2022

  $ 26.37       0.25       (3.03 )     (2.78 )     (0.29 )     (0.80 )     (0.39 )

For the year 09/01/2020 - 08/31/2021

  $ 25.80       0.31       1.28       1.59       (0.87 )     (0.15 )      

For the period 09/30/2019(18) - 08/31/2020

  $ 25.00       0.32       1.14       1.46       (0.61 )     (0.05 )      

 

(1)

Per share net investment income was calculated using average shares outstanding.

 

(2)

Annualized for periods less than one year.

 

(3)

Does not include income and expenses of investment companies in which the Fund invests.

 

(4)

Net asset value total return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period, if any, and redemption on the last day of the period at net asset value. This percentage is not an indication of the performance of a shareholder’s investment in the Fund based on market value due to the differences between the market price of the shares and the net asset value per share of the Fund.

 

(5)

Market value total return is calculated assuming an initial investment made at market value at the beginning of the period, reinvestment of all dividends and distributions at market value during the period, if any, and redemption on the last day of the period at market value. Market value is determined by the composite closing price. Composite closing security price is defined as the last reported sale price on the NYSE Arca Stock Exchange. The composite closing price is the last reported sale, regardless of volume, and not an average price, and may have occurred on a date prior to the close of the reporting period. Market value may be greater or less than net asset value, depending on the Fund’s closing price on the NYSE Arca Stock Exchange.

 

(6)

Not annualized for periods less than one year.

 

(7)

Excludes in-kind transactions associated with creations and redemptions of the Fund.

 

The accompanying notes are an integral part of the financial statements.

 

30

 

 

  

 

Per Share Operating
Performance
(For a share
outstanding
throughout
each period)

   

Ratios/
Supplemental
Data

 
 

Less Distributions
Paid:

                                   

Ratios to
Average Net
Assets of:
(2)(3)

         
 

Total
distributions paid

   

Net Asset Value,
End of Period

   

Total return,
at NAV
(4)(6)

   

Total return, at
Market
(5)(6)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net investment
income (loss)

   

Portfolio
turnover
rate
(6)(7)

 
                                                               
    (0.59 )   $ 22.04       5.22 %     5.31 %   $ 48,930       0.79 %(10)     2.76 %     6 %
    (0.99 )   $ 21.53       2.81 %     2.77 %   $ 63,522       0.81 %(13)     1.95 %     3 %
    (1.05 )   $ 21.93       (9.39 )%     (9.41 )%   $ 58,116       0.77 %(10)     0.85 %     5 %
    (0.43 )   $ 25.30       2.95 %(8)     2.96 %(8)   $ 42,372       0.77 %(10)     0.71 %     3 %
                                                               
    (0.52 )   $ 22.35       5.51 %     5.62 %   $ 20,895       0.80 %(11)     2.05 %     6 %
    (0.98 )   $ 21.70       2.67 %     2.71 %   $ 14,650       0.81 %(13)     1.77 %     3 %
    (1.48 )   $ 22.11       (11.02 )%     (11.15 )%   $ 14,922       0.77 %(10)     1.03 %     5 %
    (1.02 )   $ 26.37       6.32 %     6.60 %   $ 11,208       0.77 %(10)     1.19 %     7 %
    (0.66 )   $ 25.80       5.92 %     5.71 %   $ 29,020       0.76 %(9)     1.38 %     4 %

 

(8)

The returns reflect the actual performance for the period and do not include the impact of trades executed on the last business day of the period that were recorded on the first business day of the next period

 

(9)

Includes interest expense of 0.01%.

 

(10)

Includes interest expense of 0.02%.

 

(11)

Includes interest expense of 0.03%.

 

(12)

Includes interest expense of 0.05%.

 

(13)

Includes interest expense of 0.06%.

 

(14)

Includes interest expense of 0.07%.

 

(15)

Includes interest expense of 0.09%.

 

(16)

Includes interest expense of 0.10%.

 

(17)

Includes interest expense of 0.15%.

 

(18)

Inception Date.

 

(19)

Realized and unrealized gains and losses per share in this caption are balancing amounts necessary to reconcile the change in net asset value per share for the period, and may not reconcile with the aggregate gains and losses in the Statements of Operations due to share transactions for the period.

 

The accompanying notes are an integral part of the financial statements.

 

31

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited)

 

 

1.

ORGANIZATION

 

Overlay Shares Large Cap Equity ETF (“OVL”), Overlay Shares Small Cap Equity ETF (“OVS”), Overlay Shares Foreign Equity ETF (“OVF”), Overlay Shares Hedged Large Cap Equity ETF (“OVLH”), Overlay Shares Core Bond ETF (“OVB”), Overlay Shares Short Term Bond ETF (“OVT”) and Overlay Shares Municipal Bond ETF (“OVM”) (each a “Fund” and collectively, the “Funds”) are each a diversified series of Listed Funds Trust (the “Trust”), formerly Active Weighting Funds ETF Trust. The Trust was organized as a Delaware statutory trust on August 26, 2016, under a Declaration of Trust amended on December 21, 2018, and is registered with the U.S. Securities and Exchange Commission (the “SEC”) as an open-end management investment company under the Investment Company Act of 1940, as amended (the “1940 Act”).

 

Each Fund is an actively-managed exchange-traded fund (“ETF”) that seeks to achieve its total return investment objective by investing in one or more other ETFs that seek to obtain exposure based on the following:

 

Fund

Investment Objectives

OVL

U.S. large cap equity securities

OVS

U.S. small cap equity securities

OVF

Non-U.S. equity securities (from both developed and emerging markets)

OVLH

Hedged U.S. large cap equity securities

OVB

Investment grade, U.S. dollar-denominated, fixed-rate taxable bonds

OVT

Short-term, investment grade, U.S. dollar-denominated, fixed-rate taxable bonds with dollar-weighted average maturity of no more than three years with a maximum maturity of five years

OVM

Investment grade municipal bonds and below investment grade municipal bonds

 

The Funds may invest directly in the securities held by such ETFs and sell and purchase listed short-term put options to generate income to the Funds (the “Overlay Strategy”).

 

The Funds’ Overlay Strategy seeks to generate income for the Funds by utilizing a “put spread” consisting of the sale of exchange-listed short-term put options with a notional value (strike price times the value of the shares) up to 100% of each Fund’s net assets and the purchase of an identical number of short-term put options with a lower strike price. Each Fund seeks to generate income from the sale and purchase of put options with a lower strike price to hedge against a decline in the options’ underlying asset, the S&P 500 Index, which consists of approximately 500 leading U.S.-listed companies representing approximately 80% of the U.S. equity market capitalization.

 

2.

SIGNIFICANT ACCOUNTING POLICIES

 

Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services — Investment Companies. Each Fund prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) and follows the significant accounting policies described below.

 

Use of Estimates

 

The preparation of the financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosures of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from these estimates.

 

32

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

Share Transactions

 

The net asset value (“NAV”) per share of each Fund will be equal to a Fund’s total assets minus a Funds’ total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading.

 

Fair Value Measurement

 

In calculating the NAV, each Fund’s exchange-traded equity securities will be valued at fair value, which will generally be determined using the last reported official closing or last trading price on the exchange or market on which the security is primarily traded at the time of valuation. Such valuations are typically categorized as Level 1 in the fair value hierarchy described below.

 

Securities listed on the NASDAQ Stock Market, Inc. are generally valued at the NASDAQ official closing price.

 

If market quotations are not readily available, or if it is determined that a quotation of a security does not represent fair value, then the security is valued at fair value as determined in good faith by the Adviser using procedures adopted by the Board of Trustees of the Trust (the “Board”). The valuation of the Fund’s investments is performed in accordance with the principles found in Rule 2a-5 of the 1940 Act. The Board has designated Liquid Strategies, LLC, the Funds’ investment adviser, as the valuation designee of the Funds. The circumstances in which a security may be fair valued include, among others: the occurrence of events that are significant to a particular issuer, such as mergers, restructurings, or defaults; the occurrence of events that are significant to an entire market, such as natural disasters in a particular region or government actions; trading restrictions on securities; thinly traded securities; and market events such as trading halts and early market closings. Due to the inherent uncertainty of valuations, fair values may differ significantly from the values that would have been used had an active market existed. Fair valuation could result in a different NAV than a NAV determined by using market quotations. Such valuations are typically categorized as Level 2 or Level 3 in the fair value hierarchy described below.

 

Money market funds are valued at NAV. If NAV is not readily available, the securities will be valued at fair value.

 

FASB ASC Topic 820, Fair Value Measurements and Disclosures (“ASC 820”) defines fair value, establishes a framework for measuring fair value in accordance with U.S. GAAP, and requires disclosure about fair value measurements. It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurements. Under ASC 820, various inputs are used in determining the value of the Funds’ investments. These inputs are summarized in the following hierarchy:

 

 

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities that the Funds have the ability to access.

 

 

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar securities, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

 

Level 3 — Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available; representing the Funds’ own assumptions about the assumptions a market participant would use in valuing the asset or liability and would be based on the best information available.

 

The fair value hierarchy gives the highest priority to quoted prices (unadjusted) in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3).

 

33

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

Exchange-traded options are valued at the composite mean price, which calculates the mean of the highest bid price and lowest asked price across the exchange. On the last trading day prior to expiration, expiring options may be priced at intrinsic value. The premium a fund pays when purchasing a call option or receives when writing a call or put option will reflect, among other things, the market price of the security, the relationship of the exercise price to the market price of the security, the relationship of the exercise price to the volatility of the security, the length of the option period and supply and demand factors. The premium is the value of an option at the date of purchase. All other securities and investments for which market values are not readily available, including restricted securities, and those securities for which it is inappropriate to determine prices in accordance with the aforementioned procedures, are valued at fair value as determined in good faith under procedures adopted by the Board, although the actual calculations may be done by others. Factors considered in making this determination may include, but are not limited to, information obtained by contacting the issuer, analysts, or the appropriate stock exchange (for exchange-traded securities), analysis of the issuer’s financial statements or other available documents and, if necessary, available information concerning other securities in similar circumstances.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The hierarchy classification of inputs used to value the Funds’ investments at February 29, 2024, are as follows:

 

Overlay Shares Large Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 157,531,910     $     $     $ 157,531,910  

Money Market Funds

    262,565                   262,565  

Purchased Put Options

          58,660             58,660  

Total Investments - Assets

  $ 157,794,475     $ 58,660     $     $ 157,853,135  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (425,920 )   $     $ (425,920 )

 

Overlay Shares Small Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 9,875,341     $     $     $ 9,875,341  

Money Market Funds

    17,384                   17,384  

Purchased Put Options

          3,615             3,615  

Total Investments - Assets

  $ 9,892,725     $ 3,615     $     $ 9,896,340  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (26,185 )   $     $ (26,185 )

 

34

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

Overlay Shares Foreign Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 17,400,922     $     $     $ 17,400,922  

Money Market Funds

    42,360                   42,360  

Purchased Put Options

          6,625             6,625  

Total Investments - Assets

  $ 17,443,282     $ 6,625     $     $ 17,449,907  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (47,900 )   $     $ (47,900 )

 

Overlay Shares Hedged Large Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 23,041,594     $     $     $ 23,041,594  

Money Market Funds

    387,966                   387,966  

Purchased Put Options

          548,950             548,950  

Total Investments - Assets

  $ 23,429,560     $ 548,950     $     $ 23,978,510  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $     $     $  

 

Overlay Shares Core Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 48,016,524     $     $     $ 48,016,524  

Money Market Funds

    81,838                   81,838  

Purchased Put Options

          18,135             18,135  

Total Investments - Assets

  $ 48,098,362     $ 18,135     $     $ 48,116,497  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (130,710 )   $     $ (130,710 )

 

Overlay Shares Short Term Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 48,811,369     $     $     $ 48,811,369  

Money Market Funds

    75,844                   75,884  

Purchased Put Options

          18,240             18,240  

Total Investments - Assets

  $ 48,887,253     $ 18,240     $     $ 48,905,493  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (133,080 )   $     $ (133,080 )

 

35

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

 

Overlay Shares Municipal Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 20,832,487     $     $     $ 20,832,487  

Money Market Funds

    46,754                   46,754  

Purchased Put Options

          7,600             7,600  

Total Investments - Assets

  $ 20,879,241     $ 7,600     $     $ 20,886,841  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $     $ (55,450 )   $     $ (55,450 )

 

Security Transactions

 

Investment transactions are recorded as of the date that the securities are purchased or sold (trade date). Realized gains and losses from the sale or disposition of securities are calculated based on the specific identification basis.

 

Investment Income

 

Dividend income is recognized on the ex-dividend date. Interest income is accrued daily. An amortized cost method of valuation may be used with respect to debt obligations with sixty days or less remaining to maturity, unless the Adviser determines in good faith that such method does not represent fair value.

 

Tax Information, Dividends and Distributions to Shareholders and Uncertain Tax Positions

 

The Funds are treated as separate entities for Federal income tax purposes. Each Fund intends to qualify as a regulated investment company (“RIC”) under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”). To qualify and remain eligible for the special tax treatment accorded to RICs, each Fund must meet certain annual income and quarterly asset diversification requirements and must distribute annually at least 90% of the sum of (i) its investment company taxable income (which includes dividends, interest, and net short-term capital gains) and (ii) certain net tax-exempt income, if any. If so qualified, each Fund will not be subject to Federal income tax.

 

Distributions to shareholders are recorded on the ex-dividend date. The Funds, except for OVLH, generally pay out dividends from net investment income, if any, quarterly. OVLH will distribute net investment income, if any, annually. Each Fund will distribute their net capital gains, if any, to shareholders at least annually. The Funds may also pay a special distribution at the end of the calendar year to comply with Federal tax requirements. The amount of dividends and distributions from net investment income and net realized capital gains are determined in accordance with Federal income tax regulations, which may differ from U.S. GAAP. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature, such amounts are reclassified within the components of net assets based on their Federal tax basis treatment; temporary differences do not require reclassification. Dividends and distributions which exceed earnings and profit for tax purposes are reported as a tax return of capital.

 

Management evaluates the Funds’ tax positions to determine if the tax positions taken meet the minimum recognition threshold in connection with accounting for uncertainties in income tax positions taken or expected to be taken for the purposes of measuring and recognizing tax liabilities in the financial statements. Recognition of tax benefits of an uncertain tax position is required only when the position is “more likely than not” to be sustained assuming examination by taxing authorities. Interest and penalties related to income taxes would be recorded as income tax expense. The Funds’ Federal income tax returns are subject to examination by the Internal Revenue Service (the “IRS”) for a period of three fiscal years after they are filed. State and local tax returns may be subject to examination for an additional fiscal year depending on the jurisdiction. As of February 29, 2024, the Funds’ most recent fiscal year end, the Funds had no material uncertain tax positions and did not have

 

36

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

 

a liability for any unrecognized tax benefits. As of August 31, 2023, the Funds’ most recent fiscal year end, the Funds had no examination in progress and management is not aware of any tax positions for which it is reasonably possible that the amounts of unrecognized tax benefits will significantly change in the next twelve months.

 

The Funds recognized no interest or penalties related to uncertain tax benefits in the fiscal year 2024. At August 31, 2023, the Funds’ most recent fiscal year end, the tax periods from commencement of operations remained open to examination in the Funds’ major tax jurisdictions.

 

Indemnification

 

In the normal course of business, the Funds expect to enter into contracts that contain a variety of representations and warranties, and which provide general indemnifications. The Funds’ maximum exposure under these anticipated arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

 

Derivatives

 

Each Fund may purchase and write put and call options on indices and enter into related closing transactions. All options written on indices or securities must be covered, each Fund will segregate cash and/or other liquid assets in an amount equal to the Fund’s obligations. Put and call options on indices give the holder the right to receive, upon exercise of the option, an amount of cash if the closing level of the underlying index is greater than (or less than, in the case of puts) the exercise price of the option. This amount of cash is equal to the difference between the closing price of the index and the exercise price of the option, expressed in dollars multiplied by a specified number. The premium paid to the writer is the consideration for undertaking the obligations under the option contract.

 

The Funds invest in derivatives in order to protect against a possible decline in the market value of securities in its portfolio, to anticipate an increase in the market value of securities that the Funds may seek to purchase in the future and as a means of increasing the yield on its assets. The Funds purchasing put and call options pay a premium; therefore, if price movements in the underlying securities are such that exercise of the options would not be profitable for the Funds, loss of the premium paid may be offset by an increase in the value of the Funds’ securities or by a decrease in the cost of acquisition of securities by the Funds. When the Funds write an option, if the underlying securities do not increase or decrease to a price level that would make the exercise of the option profitable to the holder thereof, the option generally will expire without being exercised and the Funds will realize as profit the premium received for such option. When an index call option of which the Funds are the writer is exercised, the Funds will be required to deliver a cash amount commensurate to if they were to sell the underlying securities to the option holder at the strike price and will not participate in any increase in the price of such securities above the strike price. When an index put option of which the Funds are the writer is exercised, the Funds will be required to deliver a cash amount commensurate to if they were to purchase the underlying securities at a price in excess of the market value of such securities. The Funds maintain minimal counterparty risk through contracts bought or sold on an exchange. As of February 29, 2024, the Funds’ derivative instruments are not subject to a master netting arrangement.

 

Derivative Instruments

 

The average monthly value outstanding of purchased and written options during the period ended February 29, 2024, were as follows:

 

   

Overlay Shares
Large Cap
Equity ETF

   

Overlay Shares
Small Cap
Equity ETF

   

Overlay
Shares Foreign
Equity ETF

   

Overlay Shares
Hedged Large
Cap Equity ETF

 

Purchased Put Options

  $ 563,214     $ 28,835     $ 56,518     $ 2,286,534  

Written Put Options

    (1,554,164 )     (82,694 )     (158,788 )     (705,655 )

 

37

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Purchased Put Options

  $ 170,112     $ 224,227     $ 52,010  

Written Put Options

    (474,987 )     (621,833 )     (145,931 )

 

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of February 29, 2024:

 

   

Equity Risk
Contracts

   

Asset
Derivatives,
Investments,
at value

   

Liability
Derivatives,
Written
options,
at value

 

Overlay Shares Large Cap Equity ETF

Purchased Options

  $ 58,660     $  
 

Written Options

          425,920  

Overlay Shares Small Cap Equity ETF

Purchased Options

    3,615        
 

Written Options

          26,185  

Overlay Shares Foreign Equity ETF

Purchased Options

    6,625        
 

Written Options

          47,900  

Overlay Shares Hedged Large Cap Equity ETF

Purchased Options

    548,950        
 

Written Options

           

Overlay Shares Core Bond ETF

Purchased Options

    18,135        
 

Written Options

          130,710  

Overlay Shares Short Term Bond ETF

Purchased Options

    18,240        
 

Written Options

          133,080  

Overlay Shares Municipal Bond ETF

Purchased Options

    7,600        
 

Written Options

          55,450  

 

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the period ended February 29, 2024:

 

           

Net Realized Gain (Loss)

   

Net Change in Unrealized
Appreciation/Depreciation

 
           

Purchased
Options

   

Written
Options

   

Purchased
Options

   

Written
Options

 

Overlay Shares Large Cap Equity ETF

Equity Risk Contracts

  $ (2,426,611 )   $ 5,093,145     $ (53,905 )   $ 286,363  

Overlay Shares Small Cap Equity ETF

Equity Risk Contracts

    (132,942 )     304,738       (3,304 )     17,547  

Overlay Shares Foreign Equity ETF

Equity Risk Contracts

    (247,773 )     542,785       (5,777 )     31,038  

Overlay Shares Hedged Large Cap Equity ETF

Equity Risk Contracts

    (2,797,900 )     49,484       202,737       (1,287 )

Overlay Shares Core Bond ETF

Equity Risk Contracts

    (763,092 )     1,681,079       (16,192 )     86,969  

Overlay Shares Short Term Bond ETF

Equity Risk Contracts

    (1,006,384 )     2,122,104       (16,127 )     90,203  

Overlay Shares Municipal Bond ETF

Equity Risk Contracts

    (222,856 )     468,189       (7,537 )     37,754  

 

38

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

3.

INVESTMENT ADVISORY AND OTHER AGREEMENTS

 

Investment Advisory Agreement

 

The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with Liquid Strategies, LLC (“Liquid Strategies” or the “Adviser”). Under the Advisory Agreement, the Adviser provides a continuous investment program for the Funds’ assets in accordance with their investment objectives, policies and limitations, and oversees the day-to-day operations of the Funds subject to the supervision of the Board, including the Trustees who are not “interested persons” of the Trust as defined in the 1940 Act.

 

Pursuant to the Advisory Agreement between the Trust, on behalf of the Funds, and Liquid Strategies, each Fund pays a unified management fee to the Adviser, which is calculated daily and paid monthly, at an annual rate of 0.75% of each Fund’s average daily net assets. Liquid Strategies has agreed to pay all expenses of the Funds except the fee paid to Liquid Strategies under the Advisory Agreement, interest charges on any borrowings, dividends and other expenses on securities sold short, taxes, brokerage commissions and other expenses incurred in placing orders for the purchase and sale of securities and other investment instruments, acquired fund fees and expenses, accrued deferred tax liability, extraordinary expenses, and distribution (12b-1) fees and expenses (if any).

 

Distribution Agreement and 12b-1 Plan

 

Foreside Fund Services, LLC, a wholly-owned subsidiary of Foreside Financial Group, LLC (dba ACA Group) (the “Distributor”), serves as each Fund’s distributor pursuant to a Distribution Services Agreement. The Distributor receives compensation for the statutory underwriting services it provides to the Funds. The Distributor enters into agreements with certain broker-dealers and others that will allow those parties to be “Authorized Participants” and to subscribe for and redeem shares of the Funds. The Distributor will not distribute shares in less than whole Creation Units and does not maintain a secondary market in shares.

 

The Board has adopted a Distribution and Service Plan pursuant to Rule 12b-1 under the 1940 Act (“Rule 12b-1 Plan”). In accordance with the Rule 12b-1 Plan, each Fund is authorized to pay an amount up to 0.25% of the Fund’s average daily net assets each year for certain distribution-related activities. As authorized by the Board, no Rule 12b-1 fees are currently paid by the Funds and there are no plans to impose these fees. However, in the event Rule 12b-1 fees are charged in the future, they will be paid out of each Fund’s assets. The Adviser and its affiliates may, out of their own resources, pay amounts to third parties for distribution or marketing services on behalf of the Funds.

 

Administrator, Custodian and Transfer Agent

 

U.S. Bancorp Fund Services LLC, doing business as U.S. Bank Global Fund Services (“Fund Services” or “Administrator”) serves as administrator, transfer agent and fund accounting agent of the Funds pursuant to a Fund Servicing Agreement. U.S. Bank N.A. (the “Custodian”), an affiliate of Fund Services, serves as the Funds’ custodian pursuant to a Custody Agreement. Under the terms of these agreements, the Adviser pays each Fund’s administrative, custody and transfer agency fees.

 

A Trustee and all officers of the Trust are affiliated with the Administrator and Custodian.

 

4.

CREATION AND REDEMPTION TRANSACTIONS

 

Shares of the Funds are listed and traded on the NYSE Arca, Inc. (the “Exchange”). Each Fund issues and redeems shares on a continuous basis at NAV only in large blocks of shares called “Creation Units.” Creation Units are to be issued and redeemed principally in kind for a basket of securities and a balancing cash amount. Shares generally will trade in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Market prices for the shares may be different from their NAV. The NAV is determined as of the close of trading (generally, 4:00 p.m. Eastern Time) on each day the NYSE is open for trading. The NAV of the shares of each Fund will be equal to a Fund’s total assets minus a Fund’s total liabilities divided by the total number of shares outstanding. The NAV that is published will be rounded to the nearest cent; however, for purposes of determining the price of Creation Units, the NAV will be calculated to four decimal places.

 

39

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

Creation Unit Transaction Fee

 

Authorized Participants will be required to pay to the Custodian a fixed transaction fee (the “Creation Unit Transaction Fee”) in connection with the issuance or redemption of Creation Units. The standard Creation Unit Transaction Fee will be the same regardless of the number of Creation Units purchased or redeemed by an investor on the applicable business day. The Creation Unit Transaction Fee charged by the Funds for each creation order is $300.

 

An additional variable fee of up to a maximum of 2% of the value of the Creation Units subject to the transaction may be imposed for (1) creations effected outside the Clearing Process and (2) creations made in an all cash amount (to offset the Trust’s brokerage and other transaction costs associated with using cash to purchase or redeem the requisite Deposit Securities). Investors are responsible for the costs of transferring the securities constituting the Deposit Securities to the account of the Trust. Each Fund may determine to not charge a variable fee on certain orders when the Adviser has determined that doing so is in the best interests of Fund shareholders. Variable fees, if any, received by the Funds are displayed in the Capital Share Transactions section on the Statements of Changes in Net Assets.

 

Only “Authorized Participants” may purchase or redeem shares directly from the Funds. An Authorized Participant is either (1) a broker-dealer or other participant in the clearing process through the Continuous Net Settlement System of National Securities Clearing Corporation or (2) a DTC participant and, in each case, must have executed a Participant Agreement with the Distributor. Most retail investors will not qualify as Authorized Participants or have the resources to buy and sell whole Creation Units. Therefore, they will be unable to purchase or redeem the shares directly from the Funds. Rather, most retail investors will purchase shares in the secondary market with the assistance of a broker and will be subject to customary brokerage commissions or fees. Securities received or delivered in connection with in-kind creates and redeems are valued as of the close of business on the effective date of the creation or redemption.

 

A Creation Unit will generally not be issued until the transfer of good title of the deposit securities to the Funds and the payment of any cash amounts have been completed. To the extent contemplated by the applicable participant agreement, Creation Units of the Funds will be issued to such authorized participant notwithstanding the fact that the Funds’ deposits have not been received in part or in whole, in reliance on the undertaking of the authorized participant to deliver the missing deposit securities as soon as possible. If the Funds or their agents do not receive all of the deposit securities, or the required cash amounts, by such time, then the order may be deemed rejected and the authorized participant shall be liable to the Fund for losses, if any.

 

5.

FEDERAL INCOME TAX

 

The tax character of distributions paid was as follows:

 

   

Six Months Ended February 29, 2024

 
   

Ordinary
Income
(2)

   

Tax-Exempt
Income

   

Long-Term
Capital Gain

   

Return of Capital

 

Overlay Shares Large Cap Equity ETF

  $ 2,597,506     $     $     $  

Overlay Shares Small Cap Equity ETF

    146,575                    

Overlay Shares Foreign Equity ETF

    397,161                    

Overlay Shares Hedged Large Cap Equity ETF

    769,207                    

Overlay Shares Core Bond ETF

    1,236,567                    

Overlay Shares Short Term Bond ETF

    1,607,331                    

Overlay Shares Municipal Bond ETF

    331,570                    

 

40

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

 

   

Year Ended August 31, 2023

 
   

Ordinary
Income
(1)

   

Tax-Exempt
Income

   

Long-Term
Capital Gain

   

Return of Capital

 

Overlay Shares Large Cap Equity ETF

  $ 1,750,290     $     $     $ 4,973,271  

Overlay Shares Small Cap Equity ETF

    56,417                   208,142  

Overlay Shares Foreign Equity ETF

    291,825                   391,558  

Overlay Shares Hedged Large Cap Equity ETF

    334,829             113,534        

Overlay Shares Core Bond ETF

    1,076,621                   1,397,413  

Overlay Shares Short Term Bond ETF

    1,115,579                   1,508,829  

Overlay Shares Municipal Bond ETF

    4,538       246,227             384,355  

 

(1)

Ordinary income includes short-term capital gains.

 

(2)

All or a portion of these distributions may be reclassified at year-end through tax adjustments.

 

At August 31, 2023, the Funds’ most recent fiscal year end, the components of distributable earnings (accumulated losses) and the cost of investments on a tax basis, including the adjustments for financial reporting purposes, as of the most recently completed Federal income tax reporting year for the Funds were as follows:

 

   

Overlay
Shares
Large Cap
Equity ETF

   

Overlay
Shares
Small Cap
Equity ETF

   

Overlay
Shares
Foreign
Equity ETF

   

Overlay
Shares
Hedged
Large Cap
Equity ETF

   

Overlay
Shares
Core Bond
ETF

   

Overlay
Shares
Short Term
Bond ETF

   

Overlay
Shares
Municipal
Bond ETF

 

Federal Tax Cost of Investments

  $ 152,119,830     $ 8,009,399     $ 16,458,219     $ 88,499,127     $ 58,725,797     $ 67,925,996     $ 15,839,484  

Gross Tax Unrealized Appreciation

  $ 7,760,300     $ 133,099     $ 350,712     $ 9,484,743     $ 24,802     $ 30,830     $ 1,182  

Gross Tax Unrealized Depreciation

    (2,022,480 )     (422,053 )     (24,022 )     (508,922 )     (9,342,158 )     (4,437,254 )     (1,198,241 )

Net Tax Unrealized Appreciation (Depreciation)

    5,737,820       (288,954 )     326,690       8,975,821       (9,317,356 )     (4,406,424 )     (1,197,059 )

Undistributed Ordinary Income

                      291,803                    

Undistributed Tax-Exempt Income

                                         

Undistributed Long-Term Gains

                                         

Other Accumulated Gain (Loss)

    (5,707,688 )     (199,027 )     (1,397,028 )     (3,575,470 )     (2,796,506 )     (888,394 )     (209,279 )

Total Distributable Earnings / (Accumulated Losses)

  $ 30,132     $ (487,981 )   $ (1,070,338 )   $ 5,692,154     $ (12,113,862 )   $ (5,294,818 )   $ (1,406,338 )

 

*

Includes written option premiums.

 

The difference between book-basis and tax-basis unrealized appreciation/(depreciation) is attributable primarily to the tax deferral of losses on wash sales and Mark-to-Market of Section 1256 Contracts.

 

Under current tax law, net capital losses realized after October 31 and net ordinary losses incurred after December 31 may be deferred and treated as occurring on the first day of the following fiscal year. The Funds’ carryforward losses, post-October losses and post-December losses are determined only at the end of each fiscal year.

 

41

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

At August 31, 2023, the Funds’ most recent fiscal year end, the Funds had carryforward losses and post-October losses which will be carried forward indefinitely to offset future realized capital gains as follows:

 

   

Indefinite Short-
Term Capital
Loss Carryover

   

Indefinite Long-
Term Capital
Loss Carryover

   

Post-October
Losses

 

Overlay Shares Large Cap Equity ETF

  $ 2,260,950     $ 3,446,743     $  

Overlay Shares Small Cap Equity ETF

    112,120       86,907        

Overlay Shares Foreign Equity ETF

    172,942       1,224,085        

Overlay Shares Hedged Large Cap Equity ETF

                3,575,470  

Overlay Shares Core Bond ETF

    869,889       1,926,617        

Overlay Shares Short Term Bond ETF

    310,953       577,442        

Overlay Shares Municipal Bond ETF

    83,070       126,209        

 

6.

INVESTMENT TRANSACTIONS

 

During the period ended February 29, 2024, the Funds realized net capital gains and losses resulting from in-kind redemptions, in which shareholders exchanged Fund shares for securities held by the Funds rather than for cash. Because such gains are not taxable to the Funds, and are not distributed to shareholders, they have been reclassified from distributable earnings (accumulated losses) to paid in-capital. The amount of realized gains and losses from in-kind redemptions included in realized gain/(loss) on investments in the Statements of Operations is as follows:

 

   

Realized Gains

   

Realized Losses

 

Overlay Shares Large Cap Equity ETF

  $ 7,977,524     $  

Overlay Shares Small Cap Equity ETF

           

Overlay Shares Foreign Equity ETF

    80,134       (31,153 )

Overlay Shares Hedged Large Cap Equity ETF

    11,799,254       (2,097,757 )

Overlay Shares Core Bond ETF

    114,947       (51,870 )

Overlay Shares Short Term Bond ETF

    148,020       (46,023 )

Overlay Shares Municipal Bond ETF

    15,334       (39,926 )

 

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the period ended February 29, 2024, were as follows:

 

   

Purchases

   

Sales

   

Creations In-Kind

   

Redemptions
In-Kind

 

Overlay Shares Large Cap Equity ETF

  $ 11,896,593     $ 11,465,468     $ 65,759,019     $ 83,940,033  

Overlay Shares Small Cap Equity ETF

    479,274       438,990       1,569,667        

Overlay Shares Foreign Equity ETF

    1,009,950       980,470       2,381,672       2,727,020  

Overlay Shares Hedged Large Cap Equity ETF

    4,490,963       45,186,889       9,947,734       49,264,255  

Overlay Shares Core Bond ETF

    2,946,137       3,083,873       6,522,691       7,870,206  

Overlay Shares Short Term Bond ETF

    4,545,311       3,614,991       15,983,855       32,371,673  

Overlay Shares Municipal Bond ETF

    892,525       1,263,362       7,866,770       1,561,633  

 

7.

PRINCIPAL RISKS

 

As with all ETFs, shareholders of the Funds are subject to the risk that their investment could lose money. Each Fund is subject to the principal risks, any of which may adversely affect a Fund’s NAV, trading price, yield, total return, and ability to meet its investment objective.

 

42

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 29, 2024 (Unaudited) (Continued)

 

 

A complete description of principal risks is included in the Funds’ prospectuses under the heading ‘’Principal Investment Risks’’.

 

8.OTHER REGULATORY MATTERS

 

In October 2022, the Securities and Exchange Commission (the “SEC”) adopted a final rule relating to Tailored Shareholder Reports for Mutual Funds and Exchange-Traded Funds; Fee Information in Investment Company Advertisements. The rule and form amendments will, among other things, require the Fund to transmit concise and visually engaging shareholder reports that highlight key information. The amendments will require that funds tag information in a structured data format and that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective January 24, 2023. There is an 18-month transition period after the effective date of the amendment.

 

9.

SUBSEQUENT EVENTS

 

Other than as disclosed, there were no other subsequent events requiring recognition or disclosure through the date the financial statements were issued.

 

43

 

 

Overlay Shares ETFs

Shareholder Expense Example

(Unaudited)

 

 

As a shareholder of the Funds you incur two types of costs: (1) transaction costs, including brokerage commissions on purchases and sales of Fund shares; and (2) ongoing costs, including management fees and other fund expenses. The following example is intended to help you understand your ongoing costs (in dollars and cents) of investing in the Funds and to compare these costs with the ongoing costs of investing in other funds. The examples are based on an investment of $1,000 invested at the beginning of the period and held throughout the entire period (September 1, 2023 to February 29, 2024).

 

ACTUAL EXPENSES

 

The first line under each Fund in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line for your Fund under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

 

HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES

 

The second line in the table provides information about hypothetical account values and hypothetical expenses based on each Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as brokerage commissions paid on purchases and sales of Fund shares. Therefore, the second line in the table is useful in comparing ongoing Fund costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.

 

44

 

 

Overlay Shares ETFs

Shareholder Expense Example

(Unaudited) (Continued)

 

 

  Beginning
Account Value
9/1/23
Ending
Account Value
2/29/24
Annualized
Expense
Ratios
Expenses
Paid During
the Period(1)
Overlay Shares Large Cap Equity ETF        
Actual $1,000.00 $1,154.80 0.78% $4.18
Hypothetical (5% return before expenses) $1,000.00 $1,020.98 0.78% $3.92
Overlay Shares Small Cap Equity ETF        
Actual $1,000.00 $1,088.80 0.79% $4.10
Hypothetical (5% return before expenses) $1,000.00 $1,020.93 0.79% $3.97
Overlay Shares Foreign Equity ETF        
Actual $1,000.00 $1,095.70 0.78% $4.06
Hypothetical (5% return before expenses) $1,000.00 $1,020.98 0.78% $3.92
Overlay Shares Hedged Large Cap Equity ETF        
Actual $1,000.00 $1,097.40 0.85% $4.43
Hypothetical (5% return before expenses) $1,000.00 $1,020.64 0.85% $4.27
Overlay Shares Core Bond ETF        
Actual $1,000.00 $1,040.10 0.78% $3.96
Hypothetical (5% return before expenses) $1,000.00 $1,020.98 0.78% $3.92
Overlay Shares Short Term Bond ETF        
Actual $1,000.00 $1,052.20 0.77% $3.93
Hypothetical (5% return before expenses) $1,000.00 $1,021.03 0.77% $3.87
Overlay Shares Municipal Bond ETF        
Actual $1,000.00 $1,055.10 0.78% $3.99
Hypothetical (5% return before expenses) $1,000.00 $1,020.98 0.78% $3.92

  

(1)

Expenses are calculated using the Fund’s annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/366 (to reflect the six-month period).

 

45

 

 

Overlay Shares ETFs

Supplemental Information

(Unaudited)

 

 

Investors should consider the investment objective and policies, risk considerations, charges and ongoing expenses of an investment carefully before investing. The prospectus contains this and other information relevant to an investment in the Funds. Please read the prospectus carefully before investing. A copy of the prospectus for the Funds may be obtained without charge by writing to the Funds, c/o U.S. Bank Global Fund Services, P.O. Box 701, Milwaukee, Wisconsin 53201-0701, by calling 1-866-704-6857, or by visiting the Funds’ website at www.overlayshares.com.

 

QUARTERLY PORTFOLIO HOLDING INFORMATION

 

Each Fund files its complete schedule of portfolio holdings for its first and third fiscal quarters with the Securities and Exchange Commission (“SEC”) on Part F of Form N-PORT. The Funds’ Part F of Form N-PORT is available without charge, upon request, by calling toll-free at 1-866-704-6857. Furthermore, you may obtain the Part F of Form N-PORT on the SEC’s website at www.sec.gov.

 

PROXY VOTING INFORMATION

 

Each Fund is required to file a Form N-PX, with the Fund’s complete proxy voting record for the 12 months ended June 30, no later than August 31 of each year. Information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll-free 1-866-704-6857 and on the SEC’s website at www.sec.gov.

 

FREQUENCY DISTRIBUTION OF PREMIUMS AND DISCOUNTS

 

Information regarding how often shares of the Funds trade on an exchange at a price above (i.e., at a premium) or below (i.e., at a discount) the NAV of the Funds is available without charge, on the Funds’ website at www.overlayshares.com.

 

TAX INFORMATION

 

For the fiscal period ended August 31, 2023, certain dividends paid by the Funds may be subject to a maximum tax rate of 20%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

QUALIFIED DIVIDEND INCOME/DIVIDENDS RECEIVED DEDUCTION

 

For the fiscal year ended August 31, 2023, certain dividends paid by the Fund may be subject to a maximum tax rate of 20%, as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The percentage of dividends declared from ordinary income designated as qualified dividend income was as follows:

 

Overlay Large Cap Equity ETF

100.00%

Overlay Small Cap Equity

100.00%

Overlay Foreign Equity ETF

100.00%

Overlay Hedged Large Cap Equity ETF

0.00%

Overlay Shares Core Bond ETF

0.00%

Overlay Short Term Bond ETF

0.00%

Overlay Municipal Bond ETF

0.00%

 

 

46

 

 

Overlay Shares ETFs

Supplemental Information

(Unaudited) (Continued)

 

 

For corporate shareholders, the percent of ordinary income distributions qualifying for the corporate dividends received deduction for the fiscal year ended August 31, 2023 was as follows:

 

Overlay Shares Large Cap Equity ETF

0.00%

Overlay Shares Small Cap Equity ETF

0.00%

Overlay Shares Foreign Equity ETF

0.00%

Overlay Shares Hedged Large Cap Equity ETF

0.00%

Overlay Shares Core Bond ETF

0.00%

Overlay Shares Short Term Bond ETF

0.00%

Overlay Shares Municipal Bond ETF

0.00%

 

The Percentage of taxable ordinary income distributions that are designated as short-term capital gain distributions under Internal Revenue Section 871(k)(2)(C) for the Fund was as follows (unaudited).

 

Overlay Large Cap Equity ETF

0.00%

Overlay Small Cap Equity

0.00%

Overlay Foreign Equity ETF

0.00%

Overlay Hedged Large Cap Equity ETF

0.00%

Overlay Shares Core Bond ETF

0.00%

Overlay Short Term Bond ETF

0.00%

Overlay Municipal Bond ETF

0.00%

 

For the fiscal year ended August 31, 2023, the Overlay Shares Foreign Equity ETF earned foreign source income and paid foreign taxes, which the Fund intends to pass through to its shareholders pursuant to Section 853 of the Internal Revenue Code as follows:

 

      Foreign Source Income Earned       Foreign
Taxes Paid
 

Overlay Shares Foreign Equity ETF

  $ 291,825     $ 6,330  

 

47

 

 

THIS PAGE INTENTIONALLY LEFT BLANK

 

 

THIS PAGE INTENTIONALLY LEFT BLANK

 

 

 

Investment Adviser:

 

Liquid Strategies, LLC
3550 Lenox Road, Suite 2550
Atlanta, GA 30326

 

Legal Counsel:

 

Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, N.W.
Washington, D.C. 20004

 

Independent Registered Public Accounting Firm:

 

Cohen & Company, Ltd.
1350 Euclid Avenue, Suite 800
Cleveland, OH 44115

 

Distributor:

 

Foreside Fund Services, LLC
Three Canal Plaza, Suite 100
Portland, ME 04101

 

Administrator, Fund Accountant & Transfer Agent:

 

U.S. Bancorp Fund Services, LLC
d/b/a U.S. Bank Global Fund Services
615 E. Michigan St.
Milwaukee, WI 53202

 

Custodian:

 

U.S. Bank N.A.
1555 North RiverCenter Drive, Suite 302
Milwaukee, WI 53212

 

This information must be preceded or accompanied by a current prospectus for the Funds.

 

 

(b) Not applicable.

 

Item 2. Code of Ethics.

 

Not applicable for semi-annual reports.

 

Item 3. Audit Committee Financial Expert.

 

Not applicable for semi-annual reports.

 

Item 4. Principal Accountant Fees and Services.

 

Not applicable for semi-annual reports.

 

Item 5. Audit Committee of Listed Registrants.

 

(a)Not applicable for semi-annual reports.

 

(b)Not applicable.

 

Item 6. Investments.

 

(a)Schedule of Investments is included as part of the report to shareholders filed under Item 1 of this Form.

 

(b)Not applicable.

 

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

 

Not applicable to open-end investment companies.

 

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

 

Not applicable to open-end investment companies.

 

Item 10. Submission of Matters to a Vote of Security Holders.

 

There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.

 

Item 11. Controls and Procedures.

 

(a)The Registrant’s President and Treasurer have reviewed the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934. Based on their review, such officers have concluded that the disclosure controls and procedures are effective in ensuring that information required to be disclosed in this report is appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service provider.

 

(b)There were no changes in the Registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.

 

Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

 

Not applicable to open-end investment companies.

 

Item 13. Exhibits.

 

(a)(1) Any code of ethics or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy Item 2 requirements through filing an exhibit. Not applicable.

 

(2) A separate certification for each principal executive officer and principal financial officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

 

(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. Not applicable to open-end investment companies.

 

(4) Change in the registrant’s independent public accountant. There was no change in the registrant’s independent public accountant for the period covered by this report.

 

(b)Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Furnished herewith.

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant)   Listed Funds Trust  
     
By (Signature and Title)* /s/ Gregory C. Bakken  
  Gregory C. Bakken, President/Principal Executive Officer  
     
Date  5/3/2024  

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)* /s/ Gregory C. Bakken  
  Gregory C. Bakken, President/Principal Executive Officer  
     
Date  5/3/2024  
     
By (Signature and Title)*  /s/ Travis G. Babich  
  Travis G. Babich, Treasurer/Principal Financial Officer  
     
Date  5/3/2024  

 

*Print the name and title of each signing officer under his or her signature.

 

EX-99.CERT 2 fp0087612-1_ex99cert.htm

 

EX.99.CERT

 

CERTIFICATIONS

 

I, Gregory C. Bakken, certify that:

 

1.I have reviewed this report on Form N-CSR of Listed Funds Trust.;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:  5/3/2024   /s/ Gregory C. Bakken  
      Gregory C. Bakken  
      President/Principal Executive Officer  

 

EX.99.CERT

 

CERTIFICATIONS

 

I, Travis G. Babich, certify that:

 

1.I have reviewed this report on Form N-CSR of Listed Funds Trust.;

 

2.Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

 

3.Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report;

 

4.The registrant’s other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:

 

(a)Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared;

 

(b)Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

 

(c)Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and

 

(d)Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and

 

5.The registrant’s other certifying officer(s) and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions):

 

(a)All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and

 

(b)Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting.

 

Date:  5/3/2024   /s/ Travis G. Babich  
      Travis G. Babich  
      Treasurer/Principal Financial Officer  

 

EX-99.906 CERT 3 fp0087612-1_ex99906cert.htm

 

EX.99.906CERT

 

Certification Pursuant to Section 906 of the Sarbanes-Oxley Act

 

Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, each of the undersigned officers of the Listed Funds Trust, does hereby certify, to such officer’s knowledge, that the report on Form N-CSR of the Listed Funds Trust, for the period ended February 29, 2024 fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable, and that the information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Listed Funds Trust for the stated period.

 

/s/ Gregory C. Bakken   /s/ Travis G. Babich  
Gregory C. Bakken   Travis G. Babich  
President/Principal Executive Officer   Treasurer/Principal Financial Officer  
Listed Funds Trust   Listed Funds Trust  

 

Dated:  5/3/2024    

 

This statement accompanies this report on Form N-CSR pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 and shall not be deemed as filed by Listed Funds Trust for purposes of Section 18 of the Securities Exchange Act of 1934.

 

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