Overlay Shares Core Bond ETF | ||||||||||||
Schedule of Investments | ||||||||||||
as of May 31, 2024 (Unaudited) | ||||||||||||
EXCHANGE TRADED FUNDS - 99.9% | Shares | Value | ||||||||||
iShares Core U.S. Aggregate Bond ETF(a)(f) | 435,876 | $ | 42,070,752 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $50,270,943) | 42,070,752 | |||||||||||
PURCHASED OPTIONS - 0.1%(b)(c) | Notional Amount | Contracts | Value | |||||||||
Put Options - 0.1% | $ | – | ||||||||||
S&P 500 Index | – | $ | – | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,220.00 | 10,555,020 | 20 | 1,600 | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,175.00(g) | 10,555,020 | 20 | 500 | |||||||||
Expiration: 06/07/2024; Exercise Price: $5,175.00(g) | 10,555,020 | 20 | 7,500 | |||||||||
Expiration: 06/14/2024; Exercise Price: $5,150.00(g) | 10,555,020 | 20 | 22,300 | |||||||||
Total Put Options | 31,900 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $100,218) | 31,900 | |||||||||||
SHORT-TERM INVESTMENTS - 0.0%(d) | ||||||||||||
Money Market Funds - 0.0%(d) | Shares | |||||||||||
First American Government Obligations Fund - Class X, 5.24%(e) | 7,625 | 7,625 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,625) | 7,625 | |||||||||||
TOTAL INVESTMENTS - 100.0% (Cost $50,378,786) | $ | 42,110,277 | ||||||||||
Liabilities in Excess of Other Assets - 0.0%(d) | (2,858 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 42,107,419 | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
(b) | Exchange-traded. |
(c) | 100 shares per contract. |
(d) | Represents less than 0.05% of net assets. |
(e) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
(f) | All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $688,381. |
(g) | Held in connection with a written option, see Schedule of Written Options for more detail. |
Overlay Shares Core Bond ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
as of May 31, 2024 (Unaudited) | ||||||||||||
WRITTEN OPTIONS - (0.2)% (a)(b) | Notional Amount | Contracts | Value | |||||||||
Put Options - (0.2)% | ||||||||||||
S&P 500 Index | 0 | 0 | – | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,275.00 | $ | (10,555,020 | ) | (20 | ) | $ | (17,600 | ) | ||||
Expiration: 06/07/2024; Exercise Price: $5,275.00 | (10,555,020 | ) | (20 | ) | (48,000 | ) | ||||||
Expiration: 06/14/2024; Exercise Price: $5,200.00 | (10,555,020 | ) | (20 | ) | (37,300 | ) | ||||||
Total Put Options | (102,900 | ) | ||||||||||
TOTAL WRITTEN OPTIONS (Premiums received $198,173) | (102,900 | ) | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Overlay Shares Core Bond ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Exchange Traded Funds | $ | 42,070,752 | $ | – | $ | – | $ | 42,070,752 | ||||||||
Purchased Options | 1,600 | 30,300 | – | 31,900 | ||||||||||||
Money Market Funds | 7,625 | – | – | 7,625 | ||||||||||||
Total Investments | $ | 42,079,977 | $ | 30,300 | $ | – | $ | 42,110,277 | ||||||||
Liabilities: | ||||||||||||||||
Investments: | ||||||||||||||||
Written Options | $ | – | $ | (102,900 | ) | $ | – | $ | (102,900 | ) | ||||||
Total Investments | $ | – | $ | (102,900 | ) | $ | – | $ | (102,900 | ) |