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 28, 2022
(Unaudited)

 

 

 

Overlay Shares ETFs

Table of Contents

(Unaudited)

 

Schedule 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

10

Overlay Shares Short Term Bond ETF

12

Overlay Shares Municipal Bond ETF

14

Statements of Assets and Liabilities

16

Statements of Operations

18

Statements of Changes in Net Assets

20

Overlay Shares Large Cap Equity ETF

20

Overlay Shares Small Cap Equity ETF

21

Overlay Shares Foreign Equity ETF

22

Overlay Shares Hedged Large Cap Equity ETF

23

Overlay Shares Core Bond ETF

24

Overlay Shares Short Term Bond ETF

25

Overlay Shares Municipal Bond ETF

26

Financial Highlights

28

Notes to Financial Statements

32

Shareholder Expense Example

44

Supplemental Information

46

 

1

 

 

Overlay Shares Large Cap Equity ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.9%

       

Exchange Traded Funds — 99.9%

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

    633,682     $ 254,334,607          

TOTAL EXCHANGE TRADED FUNDS (Cost $220,320,035)

            254,334,607          
                         

MONEY MARKET FUNDS — 1.4%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    3,509,950       3,509,950          

TOTAL MONEY MARKET FUNDS (Cost $3,509,950)

            3,509,950          
                         

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (f)

    72       12,600     $ 31,492,368  

Expiration: March 2022, Exercise Price: $4,000 (f)

    72       70,560       31,492,368  

TOTAL PURCHASED OPTIONS (Cost $137,166)

            83,160          
                         

Total Investments (Cost $223,967,151) — 101.3%

            257,927,717          

Liabilities in Excess of Other Assets — (1.3)%

            (3,360,773 )        

TOTAL NET ASSETS — 100.0%

          $ 254,566,944          

  

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 this security is segregated as collateral for the written options. The value of the security segregated as collateral for written options is $117,761,031.

 

(c) The rate shown is the seven-day yield at period end.

 

(d) Each contract has a multiplier of 100.

 

(e) Less than 0.05%.

 

(f) Held in connection with 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 Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    72     $ 29,160     $ 31,492,368  

Expiration: March 2022, Exercise Price: $4,150

    72       154,080       31,492,368  

TOTAL WRITTEN OPTIONS (Premiums Received $359,706)

          $ 183,240          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

3

 

 

Overlay Shares Small Cap Equity ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.9%

       

Exchange Traded Funds — 99.9%

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

    72,144     $ 7,770,631          

TOTAL EXCHANGE TRADED FUNDS (Cost $7,375,870)

            7,770,631          
                         

MONEY MARKET FUNDS — 1.5%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    113,893       113,893          

TOTAL MONEY MARKET FUNDS (Cost $113,893)

            113,893          

 

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (f)

    2       350     $ 874,788  

Expiration: March 2022, Exercise Price: $4,000 (f)

    2       1,960       874,788  

TOTAL PURCHASED OPTIONS (Cost $3,810)

            2,310          
                         

Total Investments (Cost $7,493,573) — 101.4%

            7,886,834          

Liabilities in Excess of Other Assets — (1.4)%

            (106,188 )        

TOTAL NET ASSETS — 100.0%

          $ 7,780,646          

  

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 $3,169,798.

 

(c) The rate shown is the 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.

 

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

 

4

 

 

Overlay Shares Small Cap Equity ETF

Schedule of Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    2     $ 810     $ 874,788  

Expiration: March 2022, Exercise Price: $4,150

    2       4,280       874,788  

TOTAL WRITTEN OPTIONS (Premiums Received $9,992)

          $ 5,090          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

5

 

 

Overlay Shares Foreign Equity ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.9%

       

Exchange Traded Funds — 99.9%

iShares MSCI EAFE Min Vol Factor ETF (a)(b)

    97,762     $ 7,031,043          

iShares MSCI Emerging Markets Min Vol Factor ETF (b)

    27,869       1,738,468          

TOTAL EXCHANGE TRADED FUNDS (Cost $9,093,758)

            8,769,511          
                         

MONEY MARKET FUNDS — 1.5%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    126,058       126,058          

TOTAL MONEY MARKET FUNDS (Cost $126,058)

            126,058          

 

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Eercise Price: $4,000 (f)

    2       350     $ 874,788  

Expiration: March 2022, Exercise Price: $4,000 (f)

    3       2,940       1,312,182  

TOTAL PURCHASED OPTIONS (Cost $5,017)

            3,290          
                         

Total Investments (Cost $9,224,833) — 101.4%

            8,898,859          

Liabilities in Excess of Other Assets — (1.4)%

            (121,325 )        

TOTAL NET ASSETS — 100.0%

          $ 8,777,534          

 

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 $1,447,006.

 

(c) The rate shown is the 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 options, 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 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    2     $ 810     $ 874,788  

Expiration: March 2022, Exercise Price: $4,150

    3       6,420       1,312,182  

TOTAL WRITTEN OPTIONS (Premiums Received $12,732)

          $ 7,230          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

7

 

 

Overlay Shares Hedged Large Cap Equity ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

    Shares     Value  
INVESTMENT COMPANIES — 100.2%                
Exchange Traded Funds — 100.2%                

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

    58,750     $ 23,579,900  

TOTAL EXCHANGE TRADED FUNDS (Cost $23,371,439)

            23,579,900  
                 
MONEY MARKET FUNDS — 1.5%                

First American Government Obligations Fund - Class X, 0.03% (c)

    359,376       359,376  

TOTAL MONEY MARKET FUNDS (Cost $359,376)

            359,376  

 

 

 

Number of
Contracts
(d)

   

Value

   

Notional
Value

 

PURCHASED OPTIONS — 7.3%

               

PURCHASED PUT OPTIONS — 7.3%

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (e)

    7     $ 1,225     $ 3,061,758  

Expiration: March 2022, Exercise Price: $4,000 (e)

    6       5,880       2,624,364  

Expiration: June 2022, Exercise Price: $4,300

    9       177,930       3,936,546  

Expiration: September 2022, Exercise Price: $4,300

    9       242,190       3,936,546  

Expiration: December 2022, Exercise Price: $4,300

    9       291,420       3,936,546  

Expiration: January 2023, Exercise Price: $4,300

    9       303,930       3,936,546  

Expiration: June 2023, Exercise Price: $4,300

    9       359,235       3,936,546  

Expiration: March 2023, Exercise Price: $4,300

    9       327,690       3,936,546  

TOTAL PURCHASED OPTIONS (Cost $1,327,649)

            1,709,500          
                         

Total Investments (Cost $25,058,464) — 109.0%

            25,648,776          

Liabilities in Excess of Other Assets — (9.0)%

            (2,119,986 )        

TOTAL NET ASSETS — 100.0%

          $ 23,528,790          

 

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 $6,888,943.

 

(c) The rate shown is the seven-day yield at period end.

 

(d) Each contract has a multiplier of 100.

 

(e) 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.

 

8

 

 

Overlay Shares Hedged Large Cap Equity ETF

Schedule of Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    7     $ 2,835     $ 3,061,758  

Expiration: March 2022, Exercise Price: $4,150

    6       12,840       2,624,364  

TOTAL WRITTEN OPTIONS (Premiums Received $32,231)

          $ 15,675          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

9

 

 

Overlay Shares Core Bond ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.9%

               

Exchange Traded Funds — 99.9%

               

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

    1,424,958     $ 157,258,365          

TOTAL EXCHANGE TRADED FUNDS (Cost $163,190,563)

            157,258,365          
                         

MONEY MARKET FUNDS — 1.3%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    2,049,576       2,049,576          

TOTAL MONEY MARKET FUNDS (Cost $2,049,576)

            2,049,576          

 

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (f)

    45       7,875     $ 19,682,730  

Expiration: March 2022, Exercise Price: $4,000 (f)

    45       44,100       19,682,730  

TOTAL PURCHASED OPTIONS (Cost $85,729)

            51,975          
                         

Total Investments (Cost $165,325,868) — 101.2%

            159,359,916          

Liabilities in Excess of Other Assets — (1.2)%

            (1,901,676 )        

TOTAL NET ASSETS — 100.0%

          $ 157,458,240          

  

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 $53,385.

 

(c) The rate shown is the 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.

 

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

 

10

 

 

Overlay Shares Core Bond ETF

Schedule of Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    45     $ 18,225     $ 19,682,730  

Expiration: March 2022, Exercise Price: $4,150

    45       96,300       19,682,730  

TOTAL WRITTEN OPTIONS (Premiums Received $224,817)

          $ 114,525          

 

Percentages are stated as a percent of net assets.

 

CBOE

Chicago Board Options Exchange

 

(a)

Each contract has a multiplier of 100.

 

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

 

11

 

 

Overlay Shares Short Term Bond ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.9%

               

Exchange Traded Funds — 99.9%

               

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

    659,570     $ 52,521,559          

TOTAL EXCHANGE TRADED FUNDS (Cost $54,367,292)

            52,521,559          
                         

MONEY MARKET FUNDS — 1.3%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    697,824       697,824          

TOTAL MONEY MARKET FUNDS (Cost $697,824)

            697,824          

 

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (f)

    15       2,625     $ 6,560,910  

Expiration: March 2022, Exercise Price: $4,000 (f)

    15       14,700       6,560,910  

TOTAL PURCHASED OPTIONS (Cost $28,576)

            17,325          
                         

Total Investments (Cost $55,093,692) — 101.2%

            53,236,708          

Liabilities in Excess of Other Assets — (1.2)%

            (636,847 )        

TOTAL NET ASSETS — 100.0%

          $ 52,599,861          

  

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 $17,161,619.

 

(c) The rate shown is the 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.

 

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

 

12

 

 

Overlay Shares Short Term Bond ETF

Schedule of Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    15     $ 6,075     $ 6,560,910  

Expiration: March 2022, Exercise Price: $4,150

    15       32,100       6,560,910  

TOTAL WRITTEN OPTIONS (Premiums Received $74,939)

          $ 38,175          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

13

 

 

Overlay Shares Municipal Bond ETF

Schedule of Investments

February 28, 2022 (Unaudited)

 

 

 

 

Shares

   

Value

   

 

 

INVESTMENT COMPANIES — 99.8%

       

Echange Traded Funds — 99.8%

iShares National Muni Bond ETF (a)(b)

    118,030     $ 13,304,341          

TOTAL EXCHANGE TRADED FUNDS (Cost $13,638,478)

            13,304,341          
                         

MONEY MARKET FUNDS — 1.4%

               

First American Government Obligations Fund - Class X, 0.03% (c)

    179,048       179,048          

TOTAL MONEY MARKET FUNDS (Cost $179,048)

            179,048          

 

 

 

Number of
Contracts
(d)

   

 

   

Notional
Value

 

PURCHASED OPTIONS — 0.0% (e)

               

PURCHASED PUT OPTIONS — 0.0% (e)

               

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,000 (f)

    4       700     $ 1,749,576  

Expiration: March 2022, Exercise Price: $4,000 (f)

    4       3,920       1,749,576  

TOTAL PURCHASED OPTIONS (Cost $7,620)

            4,620          
                         

Total Investments (Cost $13,825,146) — 101.2%

            13,488,009          

Liabilities in Excess of Other Assets — (1.2)%

            (161,977 )        

TOTAL NET ASSETS — 100.0%

          $ 13,326,032          

  

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 this security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $8,916,470.

 

(c) The rate shown is the 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.

 

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

 

14

 

 

Overlay Shares Municipal Bond ETF

Schedule of Written Options

February 28, 2022 (Unaudited)

 

 

 

Number of
Contracts
(a)

   

Value

   

Notional
Value

 

WRITTEN OPTIONS — (0.1)%

       

WRITTEN PUT OPTIONS — (0.1)%

CBOE S&P 500 Index

                       

Expiration: March 2022, Exercise Price: $4,150

    4     $ 1,620     $ 1,749,576  

Expiration: March 2022, Exercise Price: $4,150

    4       8,560       1,749,576  

TOTAL WRITTEN OPTIONS (Premiums Received $19,984)

          $ 10,180          

 

Percentages are stated as a percent of net assets.

 

CBOE Chicago Board Options Exchange

 

(a) Each contract has a multiplier of 100.

 

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

 

15

 

 

Overlay Shares ETFs

Statements of Assets and Liabilities

February 28, 2022 (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)

  $ 257,927,717     $ 7,886,834     $ 8,898,859     $ 25,648,776  

Receivable for investment securities sold

                      9,198  

Receivable for Fund shares sold

    918,917       864,433       626,888        

Interest receivable

    68       2       2       12  

Total assets

    258,846,702       8,751,269       9,525,749       25,657,986  
                                 

Liabilities

                               

Payable to Adviser

    147,531       3,922       4,896       12,914  

Written options, at value(2)

    183,240       5,090       7,230       15,675  

Payable to broker for options

    3,141,447       101,273       114,334       2,100,607  

Payable for investment securities purchased

    807,540       860,338       621,755        

Total liabilities

    4,279,758       970,623       748,215       2,129,196  

Net Assets

  $ 254,566,944     $ 7,780,646     $ 8,777,534     $ 23,528,790  
                                 

Net Assets Consists of:

                               

Paid-in capital

  $ 224,429,198     $ 7,540,683     $ 9,328,671     $ 23,756,771  

Total distributable earnings

    30,137,746       239,963       (551,137 )     (227,981 )

Net Assets

  $ 254,566,944     $ 7,780,646     $ 8,777,534     $ 23,528,790  
                                 

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

    6,925,000       225,000       350,000       850,000  

Net asset value, redemption price and offering price per share

  $ 36.76     $ 34.58     $ 25.08     $ 27.68  
                                 

(1) Cost of investments

  $ 223,967,151     $ 7,493,573     $ 9,224,833     $ 25,058,464  

(2) Premiums received

    359,706       9,992       12,732       32,231  

 

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

 

16

 

 

Overlay Shares ETFs

Statements of Assets and Liabilities

February 28, 2022 (Unaudited)

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Assets

                       

Investments, at value(1)

  $ 159,359,916     $ 53,236,708     $ 13,488,009  

Cash

    78,116       21,336       12,492  

Receivable for investment securities sold

          22,994       6,132  

Receivable for Fund shares sold

    607,882              

Interest receivable

    39       13       3  

Total assets

    160,045,953       53,281,051       13,506,636  
                         

Liabilities

                       

Payable to Adviser

    89,626       29,730       7,420  

Written options, at value(2)

    114,525       38,175       10,180  

Payable to broker for options

    1,845,453       613,285       163,004  

Payable for investment securities purchased

    538,109              

Total liabilities

    2,587,713       681,190       180,604  

Net Assets

  $ 157,458,240     $ 52,599,861     $ 13,326,032  
                         

Net Assets Consists of:

                       

Paid-in capital

  $ 166,122,918     $ 55,336,610     $ 13,859,478  

Total distributable earnings

    (8,664,678 )     (2,736,749 )     (533,446 )

Net Assets

  $ 157,458,240     $ 52,599,861     $ 13,326,032  
                         

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

    6,475,000       2,225,000       550,000  

Net asset value, redemption price and offering price per share

  $ 24.32     $ 23.64     $ 24.23  
                         

(1) Cost of investments

  $ 165,325,868     $ 55,093,692     $ 13,825,146  

(2) Premiums received

    224,817       74,939       19,984  

 

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

 

17

 

 

Overlay Shares ETFs

Statements of Operations

For the Six Months Ended February 28, 2022 (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

  $ 1,486,113     $ 77,329     $ 81,027     $ 112,810  

Interest income

    430       14       22       84  

Total investment income

    1,486,543       77,343       81,049       112,894  
                                 

Expenses

                               

Investment advisory fees

    826,290       26,141       30,285       65,116  

Interest expense

    16,219       545       608       6,394  

Total expenses

    842,509       26,686       30,893       71,510  

Net Investment Income

    644,034       50,657       50,156       41,384  
                                 

Realized and Unrealized Gain (Loss) on Investments

                               

Net realized gain (loss) on:

                               

Investments

    (78,697 )     (10,032 )     (13,298 )     (18,755 )

Purchased options

    32,210       (5,716 )     4,023       (417,432 )

Written options

    (2,720,772 )     (71,047 )     (98,690 )     (253,110 )

Net realized loss

    (2,767,259 )     (86,795 )     (107,965 )     (689,297 )

Net change in unrealized appreciation/depreciation on:

                               

Investments

    (8,278,282 )     (303,842 )     (598,205 )     (786,397 )

Purchased options

    (25,013 )     (446 )     (673 )     468,275  

Written options

    96,505       1,994       2,594       11,468  

Net change in unrealized appreciation/depreciation

    (8,206,790 )     (302,294 )     (596,284 )     (306,654 )

Net realized and unrealized loss on investments

    (10,974,049 )     (389,089 )     (704,249 )     (995,951 )

Net decrease in net assets from operations

  $ (10,330,015 )   $ (338,432 )   $ (654,093 )   $ (954,567 )

 

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

 

18

 

 

Overlay Shares ETFs

Statements of Operations

For the Six Months Ended February 28, 2022 (Unaudited)

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Investment Income

                       

Dividend income

  $ 1,241,325     $ 348,366     $ 103,335  

Interest income

    280       100       28  

Total investment income

    1,241,605       348,466       103,363  
                         

Expenses

                       

Investment advisory fees

    545,252       175,026       45,731  

Interest expense

    10,779       3,454       927  

Total expenses

    556,031       178,480       46,658  

Net Investment Income

    685,574       169,986       56,705  
                         

Realized and Unrealized Gain (Loss) on Investments

                       

Net realized gain (loss) on:

                       

Investments

    (349,496 )     42,320       (3,166 )

Purchased options

    (162,064 )     (40,895 )     (6,103 )

Written options

    (1,408,203 )     (441,000 )     (138,228 )

Net realized loss

    (1,919,763 )     (439,575 )     (147,497 )

Net change in unrealized appreciation/depreciation on:

                       

Investments

    (7,138,068 )     (1,732,067 )     (484,690 )

Purchased options

    (12,668 )     (4,925 )     (1,419 )

Written options

    52,139       19,318       5,443  

Net change in unrealized appreciation/depreciation

    (7,098,597 )     (1,717,674 )     (480,666 )

Net realized and unrealized loss on investments

    (9,018,360 )     (2,157,249 )     (628,163 )

Net decrease in net assets from operations

  $ (8,332,786 )   $ (1,987,263 )   $ (571,458 )

 

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

 

19

 

 

Overlay Shares Large Cap Equity ETF

Statements of Changes in Net Assets

 

 

 

 

Six Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 644,034     $ 961,195  

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

    (2,767,259 )     12,785,117  

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

    (8,206,790 )     32,280,418  

Net increase (decrease) in net assets resulting from operations

    (10,330,015 )     46,026,730  
                 

From Distributions

               

Distributable earnings

    (4,934,759 )     (5,264,196 )

Total distributions

    (4,934,759 )     (5,264,196 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    69,887,583       90,796,765  

Cost of shares redeemed

    (1,015,008 )     (28,368,453 )

Net increase in net assets resulting from capital share transactions

    68,872,575       62,428,312  
                 

Total Increase in Net Assets

    53,607,801       103,190,846  
                 

Net Assets

               

Beginning of period

    200,959,143       97,768,297  

End of period

  $ 254,566,944     $ 200,959,143  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    5,125,000       3,250,000  

Shares sold

    1,825,000       2,725,000  

Shares redeemed

    (25,000 )     (850,000 )

Shares outstanding, end of period

    6,925,000       5,125,000  

 

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

 

20

 

 

Overlay Shares Small Cap Equity ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 50,657     $ 11,618  

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

    (86,795 )     711,404  

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

    (302,294 )     1,105,168  

Net increase (decrease) in net assets resulting from operations

    (338,432 )     1,828,190  
                 

From Distributions

               

Distributable earnings

    (186,911 )     (135,610 )

Total distributions

    (186,911 )     (135,610 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    1,796,060       4,341,838  

Cost of shares redeemed

          (2,558,460 )

Net increase in net assets resulting from capital share transactions

    1,796,060       1,783,378  
                 

Total Increase in Net Assets

    1,270,717       3,475,958  
                 

Net Assets

               

Beginning of period

    6,509,929       3,033,971  

End of period

  $ 7,780,646     $ 6,509,929  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    175,000       125,000  

Shares sold

    50,000       125,000  

Shares redeemed

          (75,000 )

Shares outstanding, end of period

    225,000       175,000  

 

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

 

21

 

 

Overlay Shares Foreign Equity ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 50,156     $ 65,331  

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

    (107,965 )     178,901  

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

    (596,284 )     662,219  

Net increase (decrease) in net assets resulting from operations

    (654,093 )     906,451  
                 

From Distributions

               

Distributable earnings

    (198,345 )     (206,437 )

Total distributions

    (198,345 )     (206,437 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    3,302,848       3,317,585  

Cost of shares redeemed

    (632,523 )     (1,281,097 )

Net increase in net assets resulting from capital share transactions

    2,670,325       2,036,488  
                 

Total Increase in Net Assets

    1,817,887       2,736,502  
                 

Net Assets

               

Beginning of period

    6,959,647       4,223,145  

End of period

  $ 8,777,534     $ 6,959,647  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    250,000       175,000  

Shares sold

    125,000       125,000  

Shares redeemed

    (25,000 )     (50,000 )

Shares outstanding, end of period

    350,000       250,000  

 

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

 

22

 

 

Overlay Shares Hedged Large Cap Equity ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Period Ended
August 31,
2021
(1)

 

From Operations

               

Net investment income

  $ 41,384     $ 11,666  

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

    (689,297 )     172,525  

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

    (306,654 )     913,522  

Net increase (decrease) in net assets resulting from operations

    (954,567 )     1,097,713  
                 

From Distributions

               

Distributable earnings

    (83,054 )      

Total distributions

    (83,054 )      
                 

From Capital Share Transactions

               

Proceeds from shares sold

    12,253,595       13,932,513  

Cost of shares redeemed

          (2,717,410 )

Net increase in net assets resulting from capital share transactions

    12,253,595       11,215,103  
                 

Total Increase in Net Assets

    11,215,974       12,312,816  
                 

Net Assets

               

Beginning of period

    12,312,816        

End of period

  $ 23,528,790     $ 12,312,816  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    425,000        

Shares sold

    425,000       525,000  

Shares redeemed

          (100,000 )

Shares outstanding, end of period

    850,000       425,000  

 

(1)

The Fund commenced operations on January 14, 2021.

 

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

 

23

 

 

Overlay Shares Core Bond ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 685,574     $ 1,298,972  

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

    (1,919,763 )     5,138,123  

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

    (7,098,597 )     (2,600,881 )

Net increase (decrease) in net assets resulting from operations

    (8,332,786 )     3,836,214  
                 

From Distributions

               

Distributable earnings

    (3,836,485 )     (4,741,382 )

Total distributions

    (3,836,485 )     (4,741,382 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    28,937,240       51,638,382  

Cost of shares redeemed

    (3,210,537 )     (20,576,440 )

Net increase in net assets resulting from capital share transactions

    25,726,703       31,061,942  
                 

Total Increase in Net Assets

    13,557,432       30,156,774  
                 

Net Assets

               

Beginning of period

    143,900,808       113,744,034  

End of period

  $ 157,458,240     $ 143,900,808  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    5,450,000       4,275,000  

Shares sold

    1,150,000       1,975,000  

Shares redeemed

    (125,000 )     (800,000 )

Shares outstanding, end of period

    6,475,000       5,450,000  

 

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

 

24

 

 

Overlay Shares Short Term Bond ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Period Ended
August 31,
2021
(1)

 

From Operations

               

Net investment income

  $ 169,986     $ 144,867  

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

    (439,575 )     1,006,892  

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

    (1,717,674 )     (102,546 )

Net increase (decrease) in net assets resulting from operations

    (1,987,263 )     1,049,213  
                 

From Distributions

               

Distributable earnings

    (1,210,124 )     (589,612 )

Total distributions

    (1,210,124 )     (589,612 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    13,424,897       45,039,500  

Cost of shares redeemed

          (3,126,750 )

Net increase in net assets resulting from capital share transactions

    13,424,897       41,912,750  
                 

Total Increase in Net Assets

    10,227,510       42,372,351  
                 

Net Assets

               

Beginning of period

    42,372,351        

End of period

  $ 52,599,861     $ 42,372,351  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    1,675,000        

Shares sold

    550,000       1,800,000  

Shares redeemed

          (125,000 )

Shares outstanding, end of period

    2,225,000       1,675,000  

 

(1) The Fund commenced operations on January 14, 2021.

 

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

 

25

 

 

Overlay Shares Municipal Bond ETF

Statements of Changes in Net Assets

 

 

   

Six Months
Ended
February 28,
2022
(Unaudited)

   

Year Ended
August 31,
2021

 

From Operations

               

Net investment income

  $ 56,705     $ 267,951  

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

    (147,497 )     1,014,241  

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

    (480,666 )     (183,689 )

Net increase (decrease) in net assets resulting from operations

    (571,458 )     1,098,503  
                 

From Distributions

               

Distributable earnings

    (528,460 )     (823,491 )

Total distributions

    (528,460 )     (823,491 )
                 

From Capital Share Transactions

               

Proceeds from shares sold

    3,876,245       7,134,485  

Cost of shares redeemed

    (658,205 )     (25,222,065 )

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

    3,218,040       (18,087,580 )
                 

Total Increase (Decrease) in Net Assets

    2,118,122       (17,812,568 )
                 

Net Assets

               

Beginning of period

    11,207,910       29,020,478  

End of period

  $ 13,326,032     $ 11,207,910  
                 

Changes in Shares Outstanding

               

Shares outstanding, beginning of period

    425,000       1,125,000  

Shares sold

    150,000       275,000  

Shares redeemed

    (25,000 )     (975,000 )

Shares outstanding, end of period

    550,000       425,000  

 

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

 

26

 

 

THIS PAGE INTENTIONALLY LEFT BLANK

 

 

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 09/01/2021 - 02/28/2022 (Unaudited)

  $ 39.21       0.11       (1.68 )     (1.57 )     (0.31 )     (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(11) - 08/31/2020

  $ 25.00       0.20       5.15       5.35       (0.23 )     (0.04 )

Overlay Shares Small Cap Equity ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 37.20       0.26       (1.91 )     (1.65 )     (0.63 )     (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(11) - 08/31/2020

  $ 25.00       0.19       (0.68 )(12)     (0.49 )     (0.18 )     (0.06 )

Overlay Shares Foreign Equity ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 27.84       0.16       (2.28 )     (2.12 )     (0.50 )     (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(11) - 08/31/2020

  $ 25.00       0.73       (0.73 )(12)           (0.80 )     (0.05 )

Overlay Shares Hedged Large Cap Equity ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 28.97       0.07       (1.24 )     (1.17 )     (0.12 )      

For the period 01/14/2021(11) - 08/31/2021

  $ 25.00       0.04       3.93       3.97              

 

(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) Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

 

(5) Not annualized for periods less than one year.

 

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

 

(7) 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

 

(8) Includes interest expense of 0.01%.

 

(9) Includes interest expense of 0.02%.

 

(10) Includes interest expense of 0.06%.

 

(11) Inception Date.

 

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

 

28

 

 

Overlay Shares ETFs

Financial Highlights

 

 

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)(5)

   

Total return,
at Market
(4)(5)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net
investment
income

   

Portfolio
turnover
rate
(5)(6)

 
                                                                       
          (0.88 )   $ 36.76       (4.16 )%     (4.29 )%   $ 254,567       0.76 %(8)     0.58 %     3 %
          (1.25 )   $ 39.21       35.36 %     34.77 %   $ 200,959       0.77 %(9)     0.66 %     6 %
          (0.27 )   $ 30.08       21.62 %     22.22 %   $ 97,768       0.76 %(8)     0.85 %     4 %
                                                                       
          (0.97 )   $ 34.58       (4.58 )%     (4.85 )%   $ 7,781       0.77 %(9)     1.45 %     3 %
          (0.98 )   $ 37.20       58.12 %     58.46 %   $ 6,510       0.77 %(9)     0.25 %     6 %
          (0.24 )   $ 24.27       (1.93 )%     (1.87 )%   $ 3,034       0.76 %(8)     0.90 %     6 %
                                                                       
          (0.64 )   $ 25.08       (7.76 )%     (7.71 )%   $ 8,778       0.77 %(9)     1.24 %     5 %
          (1.01 )   $ 27.84       19.82 %     20.24 %   $ 6,960       0.77 %(9)     1.28 %     10 %
    (0.02 )     (0.87 )   $ 24.13       (0.03 )%     (0.41 )%   $ 4,223       0.76 %(8)     3.42 %     8 %
                                                                       
          (0.12 )   $ 27.68       (4.09 )%     (4.45 )%   $ 23,529       0.82 %(13)     0.48 %     10 %
              $ 28.97       15.89 %(7)     16.05 %(7)   $ 12,313       0.81 %(10)     0.26 %     13 %

 

(12) 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.

 

(13) Includes interest expense of 0.07%.

 

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

 

Overlay Shares Core Bond ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 26.40       0.12       (1.53 )     (1.41 )     (0.24 )     (0.43 )

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(10) - 08/31/2020

  $ 25.00       0.35       1.92       2.27       (0.62 )     (0.04 )

Overlay Shares Short Term Bond ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 25.30       0.09       (1.11 )     (1.02 )     (0.34 )     (0.30 )

For the period 01/14/2021(10) - 08/31/2021

  $ 25.00       0.11       0.62       0.73       (0.43 )      

Overlay Shares Municipal Bond ETF

                                       

For the period 09/01/2021 - 02/28/2022 (Unaudited)

  $ 26.37       0.12       (1.22 )     (1.10 )     (0.24 )     (0.80 )

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(10) - 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) Total return in the table represents the rate that the investor would have earned or lost on an investment in the Fund, assuming reinvestment of dividends.

 

(5) Not annualized for periods less than one year.

 

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

 

(7) 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

 

(8) Includes interest expense of 0.01%.

 

(9) Includes interest expense of 0.02%.

 

(10) Inception Date.

 

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

 

30

 

 

Overlay Shares ETFs

Financial Highlights

 

 

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)(5)

   

Total return, at
Market
(4)(5)

   

Net assets,
end of period
(000’s)

   

Expenses

   

Net investment
income

   

Portfolio
turnover
rate
(5)(6)

 
                                                               
    (0.67 )   $ 24.32       (5.46 )%     (5.56 )%   $ 157,458       0.76 %(8)     0.94 %     3 %
    (1.00 )   $ 26.40       3.13 %     3.25 %   $ 143,901       0.77 %(9)     1.03 %     7 %
    (0.66 )   $ 26.61       9.22 %     9.38 %   $ 113,744       0.76 %(8)     1.46 %     5 %
                                                               
    (0.64 )   $ 23.64       (4.08 )%     (3.53 )%   $ 52,600       0.76 %(8)     0.73 %     3 %
    (0.43 )   $ 25.30       2.95 %(7)     2.96 %(7)   $ 42,372       0.77 %(9)     0.71 %     3 %
                                                               
    (1.04 )   $ 24.23       (4.34 )%     (4.40 )%   $ 13,326       0.77 %(9)     0.93 %     3 %
    (1.02 )   $ 26.37       6.32 %     6.60 %   $ 11,208       0.77 %(9)     1.19 %     7 %
    (0.66 )   $ 25.80       5.92 %     5.71 %   $ 29,020       0.76 %(8)     1.38 %     4 %

 

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

 

31

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (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.

 

Costs incurred by the Funds in connection with the organization, registration and the initial public offering of shares were paid by Liquid Strategies, LLC (“Liquid Strategies” or the “Adviser”), the Funds’ Investment Adviser.

 

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 28, 2022 (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 Fund’s 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 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).

 

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.

 

33

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

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 28, 2022, are as follows:

 

Overlay Shares Large Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 254,334,607     $     $     $ 254,334,607  

Money Market Funds

    3,509,950                   3,509,950  

Purchased Put Options

    83,160                   83,160  

Total Investments - Assets

  $ 257,927,717     $     $     $ 257,927,717  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 183,240     $     $     $ 183,240  

 

Overlay Shares Small Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 7,770,631     $     $     $ 7,770,631  

Money Market Funds

    113,893                   113,893  

Purchased Put Options

    2,310                   2,310  

Total Investments - Assets

  $ 7,886,834     $     $     $ 7,886,834  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 5,090     $     $     $ 5,090  

 

34

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

Overlay Shares Foreign Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 8,769,511     $     $     $ 8,769,511  

Money Market Funds

    126,058                   126,058  

Purchased Put Options

    3,290                   3,290  

Total Investments - Assets

  $ 8,898,859     $     $     $ 8,898,859  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 7,230     $     $     $ 7,230  

 

Overlay Shares Hedged Large Cap Equity ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 23,579,900     $     $     $ 23,579,900  

Money Market Funds

    359,376                   359,376  

Purchased Put Options

    1,709,500                   1,709,500  

Total Investments - Assets

  $ 25,648,776     $     $     $ 25,648,776  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 15,675     $     $     $ 15,675  

 

Overlay Shares Core Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 157,258,365     $     $     $ 157,258,365  

Money Market Funds

    2,049,576                   2,049,576  

Purchased Put Options

    51,975                   51,975  

Total Investments - Assets

  $ 159,359,916     $     $     $ 159,359,916  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 114,525     $     $     $ 114,525  

 

Overlay Shares Short Term Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 52,521,559     $     $     $ 52,521,559  

Money Market Funds

    697,824                   697,824  

Purchased Put Options

    17,325                   17,325  

Total Investments - Assets

  $ 53,236,708     $     $     $ 53,236,708  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 38,175     $     $     $ 38,175  

 

35

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

Overlay Shares Municipal Bond ETF

 

   

Level 1

   

Level 2

   

Level 3

   

Total

 

Investments - Assets:

                               

Exchange Traded Funds

  $ 13,304,341     $     $     $ 13,304,341  

Money Market Funds

    179,048                   179,048  

Purchased Put Options

    4,620                   4,620  

Total Investments - Assets

  $ 13,488,009     $     $     $ 13,488,009  

Other Financial Instruments - Liabilities:

                               

Written Put Options

  $ 10,180     $     $     $ 10,180  

 

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 August 31, 2021, the Funds’ most recent fiscal period end, the Funds had no material uncertain tax positions and did not have a

 

36

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

liability for any unrecognized tax benefits. As of August 31, 2021, the Funds’ most recent fiscal period 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 period. At August 31, 2021, the Funds’ most recent fiscal period 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, the Adviser expects 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 a call option of which the Funds are the writer is exercised, the Funds will be required 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 a put option of which the Funds are the writer is exercised, the Funds will be required 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 28, 2022, the Funds’ derivative instruments are not subject to a master netting arrangement.

 

37

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

Derivative Instruments

 

The average monthly value outstanding of purchased and written options during the period ended February 28, 2022, 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 Options

  $ 182,999     $ 5,609     $ 6,651     $ 1,036,891  

Written Options

    (618,101 )     (18,375 )     (22,475 )     (41,289 )

 

   

Overlay Shares
Core Bond ETF

   

Overlay Shares
Short Term
Bond ETF

   

Overlay Shares
Municipal
Bond ETF

 

Purchased Options

  $ 129,886     $ 39,051     $ 11,151  

Written Options

    (439,259 )     (131,927 )     (37,677 )

 

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Assets and Liabilities as of February 28, 2022:

 

   

Equity Risk
Contracts

   

Asset
Derivatives,
Investments,
at value

   

Liability
Derivatives,
Written
options,
at value

 

Overlay Shares Large Cap Equity ETF

 

Purchased Options

    $ 83,160     $  
   

Written Options

            183,240  

Overlay Shares Small Cap Equity ETF

 

Purchased Options

      2,310        
   

Written Options

            5,090  

Overlay Shares Foreign Equity ETF

 

Purchased Options

      3,290        
   

Written Options

            7,230  

Overlay Shares Hedged Large Cap Equity ETF

 

Purchased Options

      1,709,500        
   

Written Options

            15,675  

Overlay Shares Core Bond ETF

 

Purchased Options

      51,975        
   

Written Options

            114,525  

Overlay Shares Short Term Bond ETF

 

Purchased Options

      17,325        
   

Written Options

            38,175  

Overlay Shares Municipal Bond ETF

 

Purchased Options

      4,620        
   

Written Options

            10,180  

 

38

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

The following is a summary of the effect of derivative instruments on the Funds’ Statements of Operations for the period ended February 28, 2022:

 

           

Realized Gain (Loss)

   

Change in Unrealized
Appreciation/Depreciation

 
           

Purchased
Options

   

Written
Options

   

Purchased
Options

   

Written
Options

 

Overlay Shares Large Cap Equity ETF

Equity Risk Contracts

  $ 32,210     $ (2,720,772 )   $ (25,013 )   $ 96,505  

Overlay Shares Small Cap Equity ETF

Equity Risk Contracts

    (5,716 )     (71,047 )     (446 )     1,994  

Overlay Shares Foreign Equity ETF

Equity Risk Contracts

    4,023       (98,690 )     (673 )     2,594  

Overlay Shares Hedged Large Cap Equity ETF

Equity Risk Contracts

    (417,432 )     (253,110 )     468,275       11,468  

Overlay Shares Core Bond ETF

Equity Risk Contracts

    (162,064 )     (1,408,203 )     (12,668 )     52,139  

Overlay Shares Short Term Bond ETF

Equity Risk Contracts

    (40,895 )     (441,000 )     (4,925 )     19,318  

Overlay Shares Municipal Bond ETF

Equity Risk Contracts

    (6,103 )     (138,228 )     (1,419 )     5,443  

 

3.

INVESTMENT ADVISORY AND OTHER AGREEMENTS

 

Investment Advisory Agreement

 

The Trust has entered into an Investment Advisory Agreement (the “Advisory Agreement”) with the Adviser. Under the Advisory Agreement, the Adviser provides a continuous investment program for the Funds’ assets in accordance with its 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 (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.

 

39

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

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.

 

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 each Fund for each creation order is $250.

 

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.

 

40

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

5.

FEDERAL INCOME TAX

 

The tax character of distributions paid was as follows:

 

   

Six Months Ended February 28, 2022

 
   

Ordinary
Income
(1)

   

Tax-Exempt
Income

   

Long-Term
Capital Gain

 

Overlay Shares Large Cap Equity ETF

  $ 1,599,253     $     $ 3,335,506  

Overlay Shares Small Cap Equity ETF

    117,991             68,920  

Overlay Shares Foreign Equity ETF

    152,546             45,799  

Overlay Shares Hedged Large Cap Equity ETF

    83,054              

Overlay Shares Core Bond ETF

    1,341,800             2,494,685  

Overlay Shares Short Term Bond ETF

    628.158             581,966  

Overlay Shares Municipal Bond ETF

    107,777             420,683  

 

   

Year or Period Ended August 31, 2021

 
   

Ordinary
Income
(1)

   

Tax-Exempt
Income

   

Long-Term
Capital Gain

 

Overlay Shares Large Cap Equity ETF

  $ 3,928,078     $     $ 1,336,118  

Overlay Shares Small Cap Equity ETF

    78,038             57,572  

Overlay Shares Foreign Equity ETF

    117,794             88,643  

Overlay Shares Hedged Large Cap Equity ETF

                 

Overlay Shares Core Bond ETF

    3,080,791             1,660,591  

Overlay Shares Short Term Bond ETF

    555,524             34,088  

Overlay Shares Municipal Bond ETF

    316,819       267,374       239,298  

 

(1) Ordinary income includes short-term capital gains.

 

At August 31, 2021, the Funds’ most recent fiscal period 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(1)

  $ 158,455,291     $ 5,808,108     $ 6,688,055     $ 12,010,515     $ 142,610,293     $ 42,360,933     $ 11,041,748  

Gross Tax Unrealized Appreciation

  $ 42,380,956     $ 699,954     $ 280,355     $ 1,009,854     $ 1,845,148     $ 36,337     $ 158,240  

Gross Tax Unrealized Depreciation

    (313,936 )     (1,648 )     (24,850 )     (88,927 )     (835,207 )     (156,629 )     (12,447 )

Net Tax Unrealized Appreciation (Depreciation)

    42,067,020       698,306       255,505       920,927       1,009,941       (121,292 )     145,793  

Undistributed Ordinary Income

                      11,666                    

Undistributed Long-Term Gains

    3,335,500       68,919       45,796             2,494,652       581,930       420,679  

Other Accumulated Gain (Loss)

          (1,919 )           (122,953 )                  

Total Distributable Earnings / (Accumulated Losses)

  $ 45,402,520     $ 765,306     $ 301,301     $ 809,640     $ 3,504,593     $ 460,638     $ 566,472  

 

(1) Federal Tax Cost of Investments includes written option premiums.

 

41

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

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. At August 31, 2021, the Funds’ most recent fiscal period end, the Overlay Hedged Large Cap Equity ETF had short-term capital losses of $122,953 remaining which will be carried forward indefinitely to offset future realized capital gains. At August 31, 2021, the Funds’ most recent fiscal period end, the Overlay Shares Small Cap Equity ETF deferred, on a tax basis, late year ordinary losses of $1,919.

 

6.

INVESTMENT TRANSACTIONS

 

During the six months ended February 28, 2022, 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

  $ 371,501     $  

Overlay Shares Small Cap Equity ETF

           

Overlay Shares Foreign Equity ETF

    7,989       (9,176 )

Overlay Shares Hedged Large Cap Equity ETF

           

Overlay Shares Core Bond ETF

    46,794        

Overlay Shares Short Term Bond ETF

           

Overlay Shares Municipal Bond ETF

    10,352        

 

Purchases and sales of investments (excluding short-term investments), creations in-kind and redemptions in-kind for the six months ended February 28, 2022, were as follows:

 

   

Purchases

   

Sales

   

Creations
In-Kind

   

Redemptions
In-Kind

 

Overlay Shares Large Cap Equity ETF

  $ 5,659,665     $ 12,471,088     $ 69,957,137     $ 1,014,589  

Overlay Shares Small Cap Equity ETF

    230,587       435,339       1,794,046        

Overlay Shares Foreign Equity ETF

    425,997       650,698       3,296,132       633,762  

Overlay Shares Hedged Large Cap Equity ETF

    2,428,815       1,860,844       12,187,126        

Overlay Shares Core Bond ETF

    4,684,574       9,223,199       28,900,905       3,207,988  

Overlay Shares Short Term Bond ETF

    1,456,732       2,841,876       13,434,089        

Overlay Shares Municipal Bond ETF

    393,239       992,429       3,864,619       657,792  

 

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.

 

The global outbreak of COVID-19 (commonly referred to as “coronavirus”) has disrupted economic markets and the prolonged economic impact is uncertain. The ultimate economic fallout from the pandemic, and the long-term impact on economies, markets, industries and individual issuers, are not known. The operational and financial performance of the issuers of securities

 

42

 

 

Overlay Shares ETFs

Notes to Financial Statements

February 28, 2022 (Unaudited) (Continued)

 

in which the Funds invest depends on future developments, including the duration and spread of the outbreak, and such uncertainty may in turn adversely affect the value and liquidity of the Funds’ investments, impair the Funds’ ability to satisfy redemption requests, and negatively impact the Funds’ performance.

 

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

 

8.

SUBSEQUENT EVENTS

 

On April 6, 2022, the following Funds paid a distribution to shareholders of record on April 5, 2022, as follows:

 

   

Ordinary
Income Rate

   

Ordinary Income
Distribution Paid

 

Overlay Shares Large Cap Equity ETF

  $ 0.32     $ 2,353,405  

Overlay Shares Small Cap Equity ETF

    0.21       51,559  

Overlay Shares Foreign Equity ETF

    0.13       56,562  

Overlay Shares Core Bond ETF

    0.22       1,466,417  

Overlay Shares Short Term Bond ETF

    0.19       510,287  

Overlay Shares Municipal Bond ETF

    0.22       127,017  

 

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 for purchasing and selling 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, 2021 to February 28, 2022).

 

ACTUAL EXPENSES

 

The first line under each Fund in the table below provides information about actual account values and actual expenses. Y