Overlay Shares Short Term Bond ETF | ||||||||||||
Schedule of Investments | ||||||||||||
as of May 31, 2024 (Unaudited) | ||||||||||||
EXCHANGE TRADED FUNDS - 99.9% | Shares | Value | ||||||||||
Vanguard Short-Term Corporate Bond ETF(a)(f) | 586,363 | $ | 45,226,179 | |||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $47,931,074) | 45,226,179 | |||||||||||
PURCHASED OPTIONS - 0.1%(b)(c) | Notional Amount | Contracts | Value | |||||||||
Put Options - 0.1% | $ | – | ||||||||||
S&P 500 Index | – | $ | – | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,220.00 | 11,082,771 | 21 | 1,680 | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,175.00(g) | 11,082,771 | 21 | 525 | |||||||||
Expiration: 06/07/2024; Exercise Price: $5,175.00(g) | 11,610,522 | 22 | 8,250 | |||||||||
Expiration: 06/14/2024; Exercise Price: $5,150.00(g) | 11,082,771 | 21 | 23,415 | |||||||||
Total Put Options | 33,870 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $106,792) | 33,870 | |||||||||||
SHORT-TERM INVESTMENTS - 0.0%(d) | ||||||||||||
Money Market Funds - 0.0%(d) | Shares | |||||||||||
First American Government Obligations Fund - Class X, 5.24%(e) | 8,900 | 8,900 | ||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $8,900) | 8,900 | |||||||||||
TOTAL INVESTMENTS - 100.0% (Cost $48,046,766) | $ | 45,268,949 | ||||||||||
Other Assets in Excess of Liabilities - 0.0%(d) | 6,560 | |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 45,275,509 | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
(b) | Exchange-traded. |
(c) | 100 shares per contract. |
(d) | Represents less than 0.05% of net assets. |
(e) | The rate shown represents the 7-day effective yield as of May 31, 2024. |
(f) | All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $28,603,352. |
(g) | Held in connection with a written option, see Schedule of Written Options for more detail. |
Overlay Shares Short Term Bond ETF | ||||||||||||
Schedule of Written Options | ||||||||||||
as of May 31, 2024 (Unaudited) | ||||||||||||
WRITTEN OPTIONS - (0.2)% (a)(b) | Notional Amount | Contracts | Value | |||||||||
Put Options - (0.2)% | ||||||||||||
S&P 500 Index | 0 | 0 | – | |||||||||
Expiration: 06/03/2024; Exercise Price: $5,275.00 | $ | (11,082,771 | ) | (21 | ) | $ | (18,480 | ) | ||||
Expiration: 06/07/2024; Exercise Price: $5,275.00 | (11,610,522 | ) | (22 | ) | (52,800 | ) | ||||||
Expiration: 06/14/2024; Exercise Price: $5,200.00 | (11,082,771 | ) | (21 | ) | (39,165 | ) | ||||||
Total Put Options | (110,445 | ) | ||||||||||
TOTAL WRITTEN OPTIONS (Premiums received $212,462) | (110,445 | ) | ||||||||||
Percentages are stated as a percent of net assets. |
(a) | Exchange-traded. |
(b) | 100 shares per contract. |
Overlay Shares Short Term Bond ETF | ||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Exchange Traded Funds | $ | 45,226,178 | $ | – | $ | – | $ | 45,226,178 | ||||||||
Purchased Options | 1,680 | 32,190 | – | 33,870 | ||||||||||||
Money Market Funds | 8,900 | – | – | 8,900 | ||||||||||||
Total Investments | $ | 45,236,759 | $ | 32,190 | $ | – | $ | 45,268,949 | ||||||||
Liabilities: | ||||||||||||||||
Investments: | ||||||||||||||||
Written Options | $ | – | $ | (110,445 | ) | $ | – | $ | (110,445 | ) | ||||||
Total Investments | $ | – | $ | (110,445 | ) | $ | – | $ | (110,445 | ) | ||||||
Refer to the Schedule of Investments for industry classifications. | ||||||||||||||||