Overlay Shares Short Term Bond ETF | ||||||||||||
Schedule of Investments | ||||||||||||
November 30, 2022 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
INVESTMENTS COMPANIES - 96.6% | ||||||||||||
Exchanges Traded Funds - 96.6% | ||||||||||||
Vanguard Short-Term Corporate Bond ETF (a)(b) | 732,281 | $ | 55,287,216 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $59,797,278) | 55,287,216 | |||||||||||
MONEY MARKET FUNDS - 2.0% | ||||||||||||
First American Government Obligations Fund - Class X, 3.66% (c) | 1,085,379 | 1,085,379 | ||||||||||
TOTAL MONEY MARKET FUNDS (Cost $1,085,379) | 1,085,379 | |||||||||||
Number of | ||||||||||||
Contracts (d) | Notional Value | |||||||||||
PURCHASED OPTIONS - 0.0% (e) | ||||||||||||
PURCHASED PUT OPTIONS - 0.0% (e) | ||||||||||||
CBOE S&P 500 Index | ||||||||||||
Expiration: December 2022, Exercise Price: $3,780 (f) | 14 | 1,260 | $ | 5,712,154 | ||||||||
Expiration: December 2022, Exercise Price: $3,815 (f) | 14 | 2,940 | 5,712,154 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $8,763) | 4,200 | |||||||||||
Total Investments (Cost $60,891,420) - 101.6% | 56,376,795 | |||||||||||
Other Assets in Excess of Liabilities - (1.6)% | (882,178 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 55,494,617 |
Percentages are stated as a percent of net assets. |
CBOE | Chicago Board Options Exchange | ||||||||
(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 $16,271,534. | ||||||||
(c) | The rate shown is the annualized seven-day yield at period end. | ||||||||
(d) | Each contract has a multiplier of 100. | ||||||||
(e) | Less than 0.05%. | ||||||||
(f) | Held in connection with a written option, see Schedule of Written Options for more detail. |
Overlay Shares Short Term Bond ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
November 30, 2022 (Unaudited) | ||||||||||||
Number of | ||||||||||||
Contracts (a) | Value | Notional Value | ||||||||||
WRITTEN OPTIONS - (0.3)% | ||||||||||||
WRITTEN PUT OPTIONS - (0.3)% | ||||||||||||
CBOE S&P 500 Index | ||||||||||||
Expiration: December 2022, Exercise Price: $3,900 | 14 | $ | 3,780 | $ | 5,712,154 | |||||||
Expiration: December 2022, Exercise Price: $3,935 | 14 | 11,200 | 5,712,154 | |||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $34,885) | $ | 14,980 |
Percentages are stated as a percent of net assets. |
CBOE | Chicago Board Options Exchange | ||||||||
(a) | Each contract has a multiplier of 100. |
Fair Value Measurements | ||||||||
Various inputs are used in determining the value of the Fund's investments. These inputs are summarized in three broad levels. | ||||||||
Level 1 includes quoted prices in active markets for identical securities. Level 2 includes other significant observable inputs | ||||||||
(including quoted prices for similar securities, interest rates, prepayment speeds and credit risk). Level 3 includes significant | ||||||||
unobservable inputs (including the Fund's own assumptions in determining the fair value of investments). The level assigned to the | ||||||||
securities valuations may not be an indication of the risk or liquidity associated with investing in those securities. | ||||||||
The Fund did not hold any investments during the period with significant unobservable inputs which would be classified as Level 3. | ||||||||
The following is a summary of the inputs used to value the Fund's investments carried at fair value as of November 30, 2022: |
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Investments - Assets: | ||||||||||||||||
Exchange Traded Funds | $ | 55,287,216 | $ | - | $ | - | $ | 55,287,216 | ||||||||
Money Market Funds | 1,085,379 | - | - | 1,085,379 | ||||||||||||
Purchased Put Options | 4,200 | - | - | 4,200 | ||||||||||||
Total Investments - Assets | $ | 56,376,795 | $ | - | $ | - | $ | 56,376,795 | ||||||||
Other Financial Instruments - Liabilities: | ||||||||||||||||
Written Put Options | $ | 14,980 | $ | - | $ | - | $ | 14,980 | ||||||||