Overlay Shares Core Bond ETF | ||||||||||||
Schedule of Investments | ||||||||||||
November 30, 2022 (Unaudited) | ||||||||||||
Shares | Value | |||||||||||
INVESTMENT COMPANIES - 99.6% | ||||||||||||
Exchanged Traded Funds - 99.6.4% | ||||||||||||
iShares Core U.S. Aggregate Bond ETF (a)(b) | 500,784 | $ | 49,222,059 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $58,232,273) | 49,222,059 | |||||||||||
MONEY MARKET FUNDS - 2.5% | ||||||||||||
First American Government Obligations Fund - Class X, 3.66% (c) | 1,254,166 | 1,254,166 | ||||||||||
TOTAL MONEY MARKET FUNDS (Cost $1,254,166) | 1,254,166 | |||||||||||
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) | 13 | 1,170 | $ | 5,304,143 | ||||||||
Expiration: December 2022, Exercise Price: $3,815 (f) | 13 | 2,730 | 5,304,143 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $8,137) | 3,900 | |||||||||||
Total Investments (Cost $59,494,576) - 102.2% | 50,480,125 | |||||||||||
Other Assets in Excess of Liabilities - (2.2)% | (1,075,574 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 49,404,551 |
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 $47,547,198. | ||||||||
(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 Core 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 | 13 | $ | 3,510 | 5,304,143 | ||||||||
Expiration: December 2022, Exercise Price: $3,935 | 13 | 10,400 | 5,304,143 | |||||||||
TOTAL WRITTEN OPTIONS (Premiums Received $32,393) | $ | 13,910 | ||||||||||
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 | $ | 49,222,059 | $ | - | $ | - | $ | 49,222,059 | ||||||||
Money Market Funds | 1,254,166 | - | - | 1,254,166 | ||||||||||||
Purchased Put Options | 3,900 | - | - | 3,900 | ||||||||||||
Total Investments - Assets | $ | 50,480,125 | $ | - | $ | - | $ | 50,480,125 | ||||||||
Other Financial Instruments - Liabilities: | �� | |||||||||||||||
Written Put Options | $ | 13,910 | $ | - | $ | - | $ | 13,910 |