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, 2023
(Unaudited)
Overlay Shares ETFs
Table of Contents
(Unaudited)
|
Schedules 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 |
34 |
|
Shareholder Expense Example |
46 |
|
Supplemental Information |
48 |
1
Overlay Shares Large Cap Equity ETF
Schedule of Investments
February 28, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENT COMPANIES — 100.2% |
||||||||||||
|
Exchange Traded Funds — 100.2% | ||||||||||||
|
Vanguard S&P 500 ETF (a)(b) |
366,175 | $ | 133,327,979 | |||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $143,914,017) |
133,327,979 | |||||||||||
|
MONEY MARKET FUNDS — 3.0% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
3,985,517 | 3,985,517 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $3,985,517) |
3,985,517 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.8% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.8% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
67 | $ | 102,175 | $ | 26,600,005 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
67 | 311,215 | 26,600,005 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
67 | 169,175 | 26,600,005 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
67 | 448,565 | 26,600,005 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $597,636) |
1,031,130 | |||||||||||
|
Total Investments (Cost $148,497,170) — 104.0% |
138,344,626 | |||||||||||
|
Other Assets and Liabilities, net — (4.0)% |
(5,309,555 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 133,035,071 | ||||||||||
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 $106,831,695. |
|
(c) |
The rate shown is the annualized 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.
2
Overlay Shares Large Cap Equity ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.4)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
67 | $ | 196,645 | $ | 26,600,005 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
67 | 345,050 | 26,600,005 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
67 | 614,725 | 26,600,005 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
67 | 712,880 | 26,600,005 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $1,035,259) |
$ | 1,869,300 | ||||||||||
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, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENT COMPANIES — 100.2% |
||||||||||||
|
Exchange Traded Funds — 100.2% | ||||||||||||
|
iShares Core S&P Small-Cap ETF (a)(b) |
76,521 | $ | 7,834,985 | |||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $7,949,092) |
7,834,985 | |||||||||||
|
MONEY MARKET FUNDS — 1.3% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
98,601 | 98,601 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $98,601) |
98,601 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.7% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.7% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
4 | $ | 6,100 | $ | 1,588,060 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
3 | 13,935 | 1,191,045 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
4 | 10,100 | 1,588,060 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
4 | 26,780 | 1,588,060 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $31,507) |
56,915 | |||||||||||
|
Total Investments (Cost $8,079,200) — 102.2% |
7,990,501 | |||||||||||
|
Other Assets and Liabilities, net — (2.2)% |
(170,273 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 7,820,228 | ||||||||||
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 $3,013,235. |
|
(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.
4
Overlay Shares Small Cap Equity ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.3)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.3)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
4 | $ | 11,740 | $ | 1,588,060 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
4 | 20,600 | 1,588,060 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
3 | 27,525 | 1,191,045 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
4 | 42,560 | 1,588,060 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $53,591) |
$ | 102,425 | ||||||||||
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, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENT COMPANIES — 100.2% |
||||||||||||
|
Exchange Traded Funds — 100.2% | ||||||||||||
|
iShares Core MSCI Emerging Markets ETF |
66,158 | $ | 3,132,582 | |||||||||
|
iShares MSCI EAFE Min Vol Factor ETF (a)(b) |
193,008 | 12,495,338 | ||||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $16,488,798) |
15,627,920 | |||||||||||
|
MONEY MARKET FUNDS — 1.1% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
173,161 | 173,161 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $173,161) |
173,161 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.7% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.7% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
8 | $ | 12,200 | $ | 3,176,120 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
8 | 37,160 | 3,176,120 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
8 | 20,200 | 3,176,120 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
7 | 46,865 | 2,779,105 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $69,828) |
116,425 | |||||||||||
|
Total Investments (Cost $16,731,787) — 102.0% |
15,917,506 | |||||||||||
|
Other Assets and Liabilities, net — (2.0)% |
(318,952 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 15,598,554 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
|
(a) |
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 $4,267,208. |
|
(b) |
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. |
|
(c) |
The rate shown is the annualized 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.
6
Overlay Shares Foreign Equity ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.4)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
8 | $ | 23,480 | $ | 3,176,120 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
8 | 41,200 | 3,176,120 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
8 | 73,400 | 3,176,120 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
7 | 74,480 | 2,779,105 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $121,313) |
$ | 212,560 | ||||||||||
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, 2023 (Unaudited)
| Shares | Value | |||||||
| INVESTMENTS COMPANIES — 95.4% | ||||||||
| Exchange Traded Funds — 95.4% | ||||||||
|
Vanguard S&P 500 ETF (a)(b) |
229,017 | $ | 83,387,379 | |||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $85,207,127) |
83,387,379 | |||||||
| MONEY MARKET FUNDS — 5.7% | ||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
4,948,335 | 4,948,335 | ||||||
|
TOTAL MONEY MARKET FUNDS (Cost $4,948,335) |
4,948,335 | |||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 3.8% |
||||||||||||
|
PURCHASED PUT OPTIONS — 3.8% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,650 |
46 | $ | 20,240 | $ | 18,262,690 | |||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
45 | 68,625 | 17,865,675 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
45 | 209,025 | 17,865,675 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
40 | 101,000 | 15,880,600 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
45 | 301,275 | 17,865,675 | |||||||||
|
Expiration: June 2023, Exercise Price: $3,650 |
44 | 267,300 | 17,468,660 | |||||||||
|
Expiration: September 2023, Exercise Price: $3,650 |
44 | 452,100 | 17,468,660 | |||||||||
|
Expiration: December 2023, Exercise Price: $3,650 |
44 | 598,840 | 17,468,660 | |||||||||
|
Expiration: January 2024, Exercise Price: $3,650 |
44 | 634,040 | 17,468,660 | |||||||||
|
Expiration: March 2024, Exercise Price: $3,650 |
44 | 705,100 | 17,468,660 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $4,535,974) |
3,357,545 | |||||||||||
|
Total Investments (Cost $94,691,436) — 104.9% |
91,693,259 | |||||||||||
|
Other Assets and Liabilities, net — (4.9)% |
(4,246,330 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 87,446,929 | ||||||||||
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 portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $6,249,584. |
|
(c) |
The rate shown is the annualized seven-day yield at period end. |
|
(d) |
Each contract has a multiplier of 100. |
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, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.4)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
45 | $ | 132,075 | $ | 17,865,675 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
40 | 206,000 | 15,880,600 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
45 | 412,875 | 17,865,675 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
45 | 478,800 | 17,865,675 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $681,994) |
$ | 1,229,750 | ||||||||||
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, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENT COMPANIES — 100.2% |
||||||||||||
|
Exchanged Traded Funds — 100.2% |
||||||||||||
|
iShares Core U.S. Aggregate Bond ETF (a)(b) |
520,497 | $ | 50,649,563 | |||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $59,760,094) |
50,649,563 | |||||||||||
|
MONEY MARKET FUNDS — 2.1% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
1,038,980 | 1,038,980 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $1,038,980) |
1,038,980 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.7% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.7% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
25 | $ | 38,125 | $ | 9,925,375 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
25 | 116,125 | 9,925,375 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
24 | 60,600 | 9,528,360 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
24 | 160,680 | 9,528,360 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $219,659) |
375,530 | |||||||||||
|
Total Investments (Cost $61,018,733) — 103.0% |
52,064,073 | |||||||||||
|
Other Assets and Liabilities, net — (3.0)% |
(1,519,626 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 50,544,447 | ||||||||||
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 $45,126,929. |
|
(c) |
The rate shown is the annualized 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.
10
Overlay Shares Core Bond ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.3)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.3)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
25 | $ | 73,375 | $ | 9,925,375 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
24 | 123,600 | 9,528,360 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
25 | 229,375 | 9,925,375 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
24 | 255,360 | 9,528,360 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $381,325) |
$ | 681,710 | ||||||||||
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, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENTS COMPANIES — 100.2% |
||||||||||||
|
Exchanges Traded Funds — 100.2% |
||||||||||||
|
Vanguard Short-Term Corporate Bond ETF (a)(b) |
751,786 | $ | 56,594,450 | |||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $61,194,961) |
56,594,450 | |||||||||||
|
MONEY MARKET FUNDS — 1.5% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
859,301 | 859,301 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $859,301) |
859,301 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.8% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.8% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
28 | $ | 42,700 | $ | 11,116,420 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
28 | 130,060 | 11,116,420 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
28 | 70,700 | 11,116,420 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
28 | 187,460 | 11,116,420 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $249,758) |
430,920 | |||||||||||
|
Total Investments (Cost $62,304,020) — 102.5% |
57,884,671 | |||||||||||
|
Other Assets and Liabilities, net — (2.5)% |
(1,403,935 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 56,480,736 | ||||||||||
Percentages are stated as a percent of net assets.
CBOE Chicago Board Options Exchange
|
(a) |
Fair value of this security exceeds 25% of the Fund’s net assets. Additional information for this security, including the financial statements, is available from the SEC’s EDGAR database at www.sec.gov. |
|
(b) |
All or a portion of the security is segregated as collateral for written options. The value of the security segregated as collateral for written options is $16,224,120. |
|
(c) |
The rate shown is the annualized 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.
12
Overlay Shares Short Term Bond ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.4)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
28 | $ | 82,180 | $ | 11,116,420 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
28 | 144,200 | 11,116,420 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
28 | 256,900 | 11,116,420 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
28 | 297,920 | 11,116,420 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $432,646) |
$ | 781,200 | ||||||||||
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, 2023 (Unaudited)
|
|
Shares |
Value |
|
|||||||||
|
INVESTMENT COMPANIES — 100.2% |
||||||||||||
|
Exchange Traded Funds — 100.2% | ||||||||||||
|
iShares National Muni Bond ETF (a)(b) |
128,538 | $ | 13,554,332 | |||||||||
|
TOTAL EXCHANGE TRADED FUNDS (Cost $14,705,399) |
13,554,332 | |||||||||||
|
MONEY MARKET FUNDS — 1.2% |
||||||||||||
|
First American Government Obligations Fund - Class X, 4.37% (c) |
158,858 | 158,858 | ||||||||||
|
TOTAL MONEY MARKET FUNDS (Cost $158,858) |
158,858 | |||||||||||
|
|
Number
of |
|
Notional
|
|||||||||
|
PURCHASED OPTIONS — 0.8% |
||||||||||||
|
PURCHASED PUT OPTIONS — 0.8% |
||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,920 (e) |
7 | $ | 10,675 | $ | 2,779,105 | |||||||
|
Expiration: March 2023, Exercise Price: $3,960 (e) |
7 | 32,515 | 2,779,105 | |||||||||
|
Expiration: March 2023, Exercise Price: $3,970 (e) |
5 | 12,625 | 1,985,075 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,030 (e) |
7 | 46,865 | 2,779,105 | |||||||||
|
TOTAL PURCHASED OPTIONS (Cost $58,824) |
102,680 | |||||||||||
|
Total Investments (Cost $14,923,081) — 102.2% |
13,815,870 | |||||||||||
|
Other Assets and Liabilities, net — (2.2)% |
(291,776 | ) | ||||||||||
|
TOTAL NET ASSETS — 100.0% |
$ | 13,524,094 | ||||||||||
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 $8,329,706. |
|
(c) |
The rate shown is the annualized 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.
14
Overlay Shares Municipal Bond ETF
Schedule of Written Options
February 28, 2023 (Unaudited)
|
|
Number
of |
Value |
Notional
|
|||||||||
|
WRITTEN OPTIONS — (1.4)% |
||||||||||||
|
WRITTEN PUT OPTIONS — (1.4)% | ||||||||||||
|
CBOE S&P 500 Index |
||||||||||||
|
Expiration: March 2023, Exercise Price: $3,960 |
7 | $ | 20,545 | $ | 2,779,105 | |||||||
|
Expiration: March 2023, Exercise Price: $4,010 |
5 | 25,750 | 1,985,075 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,040 |
7 | 64,225 | 2,779,105 | |||||||||
|
Expiration: March 2023, Exercise Price: $4,070 |
7 | 74,480 | 2,779,105 | |||||||||
|
TOTAL WRITTEN OPTIONS (Premiums Received $102,829) |
$ | 185,000 | ||||||||||
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, 2023 (Unaudited)
|
Overlay
Shares |
Overlay
Shares |
Overlay
|
Overlay
Shares |
|||||||||||||
|
Assets |
||||||||||||||||
|
Investments, at value(1) |
$ | 138,344,626 | $ | 7,990,501 | $ | 15,917,506 | $ | 91,693,259 | ||||||||
|
Cash |
— | — | — | — | ||||||||||||
|
Receivable for investment securities sold |
400,980 | 23,925 | 41,880 | 269,310 | ||||||||||||
|
Interest receivable |
12,094 | 300 | 559 | 16,513 | ||||||||||||
|
Total assets |
138,757,700 | 8,014,726 | 15,959,945 | 91,979,082 | ||||||||||||
|
Liabilities |
||||||||||||||||
|
Payable to Adviser |
78,703 | 4,618 | 8,765 | 51,839 | ||||||||||||
|
Written options, at value(2) |
1,869,300 | 102,425 | 212,560 | 1,229,750 | ||||||||||||
|
Payable to broker for options |
3,103,604 | 47,420 | 70,021 | 2,801,048 | ||||||||||||
|
Payable for investment securities purchased |
669,010 | 39,955 | 69,910 | 449,340 | ||||||||||||
|
Accrued broker commission expense |
2,012 | 80 | 135 | 176 | ||||||||||||
|
Total liabilities |
5,722,629 | 194,498 | 361,391 | 4,532,153 | ||||||||||||
|
Net Assets |
$ | 133,035,071 | $ | 7,820,228 | $ | 15,598,554 | $ | 87,446,929 | ||||||||
|
Net Assets Consists of: |
||||||||||||||||
|
Paid-in capital |
$ | 144,772,432 | $ | 8,411,125 | $ | 17,589,379 | $ | 91,201,159 | ||||||||
|
Total distributable earnings |
(11,737,361 | ) | (590,897 | ) | (1,990,825 | ) | (3,754,230 | ) | ||||||||
|
Net Assets |
$ | 133,035,071 | $ | 7,820,228 | $ | 15,598,554 | $ | 87,446,929 | ||||||||
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
4,200,000 | 250,000 | 725,000 | 3,475,000 | ||||||||||||
|
Net asset value, redemption price and offering price per share |
$ | 31.68 | $ | 31.28 | $ | 21.52 | $ | 25.16 | ||||||||
|
(1) Cost of investments |
$ | 148,497,170 | $ | 8,079,200 | $ | 16,731,787 | $ | 94,691,436 | ||||||||
|
(2) Premiums received |
$ | 1,035,259 | $ | 53,591 | $ | 121,313 | $ | 681,994 | ||||||||
The accompanying notes are an integral part of the financial statements.
16
Overlay Shares ETFs
Statements of Assets and Liabilities
February 28, 2023 (Unaudited)
|
Overlay
Shares |
Overlay
Shares |
Overlay
Shares |
||||||||||
|
Assets |
||||||||||||
|
Investments, at value(1) |
$ | 52,064,073 | $ | 57,884,671 | $ | 13,815,870 | ||||||
|
Cash |
113,772 | 37,134 | 17,696 | |||||||||
|
Receivable for investment securities sold |
143,625 | 167,565 | 41,880 | |||||||||
|
Interest receivable |
3,698 | 2,949 | 702 | |||||||||
|
Total assets |
52,325,168 | 58,092,319 | 13,876,148 | |||||||||
|
Liabilities |
||||||||||||
|
Payable to Adviser |
28,538 | 32,165 | 7,829 | |||||||||
|
Written options, at value(2) |
681,710 | 781,200 | 185,000 | |||||||||
|
Payable to broker for options |
830,326 | 518,060 | 89,167 | |||||||||
|
Payable for investment securities purchased |
239,655 | 279,595 | 69,910 | |||||||||
|
Accrued broker commission expense |
492 | 563 | 148 | |||||||||
|
Total liabilities |
1,780,721 | 1,611,583 | 352,054 | |||||||||
|
Net Assets |
$ | 50,544,447 | $ | 56,480,736 | $ | 13,524,094 | ||||||
|
Net Assets Consists of: |
||||||||||||
|
Paid-in capital |
$ | 66,928,919 | $ | 64,014,336 | $ | 15,382,633 | ||||||
|
Total distributable earnings |
(16,384,472 | ) | (7,533,600 | ) | (1,858,539 | ) | ||||||
|
Net Assets |
$ | 50,544,447 | $ | 56,480,736 | $ | 13,524,094 | ||||||
|
Shares of beneficial interest outstanding (unlimited number of shares authorized, no par value) |
2,475,000 | 2,650,000 | 625,000 | |||||||||
|
Net asset value, redemption price and offering price per share |
$ | 20.42 | $ | 21.31 | $ | 21.64 | ||||||
|
(1) Cost of investments |
$ | 61,018,733 | $ | 62,304,020 | $ | 14,923,081 | ||||||
|
(2) Premiums received |
$ | 381,325 | $ | 432,646 | $ | 102,829 | ||||||
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, 2023 (Unaudited)
|
Overlay
Shares |
Overlay
Shares |
Overlay
|
Overlay
Shares |
|||||||||||||
|
Investment Income |
||||||||||||||||
|
Dividend income |
$ | 1,983,720 | $ | 66,575 | $ | 115,567 | $ | 366,239 | ||||||||
|
Interest income |
83,122 | 2,148 | 3,745 | 29,368 | ||||||||||||
|
Total investment income |
2,066,842 | 68,723 | 119,312 | 395,607 | ||||||||||||
|
Expenses |
||||||||||||||||
|
Investment advisory fees |
801,380 | 27,814 | 45,644 | 156,997 | ||||||||||||
|
Interest expense |
90,202 | 3,202 | 4,773 | 24,950 | ||||||||||||
|
Total expenses |
891,582 | 31,016 | 50,417 | 181,947 | ||||||||||||
|
Net Investment Income |
1,175,260 | 37,707 | 68,895 | 213,660 | ||||||||||||
|
Realized and Unrealized Gain (Loss) on Investments |
||||||||||||||||
|
Net realized gain (loss) on: |
||||||||||||||||
|
Investments |
12,288,712 | (45,242 | ) | (491,858 | ) | (118,575 | ) | |||||||||
|
Purchased options |
(3,682,294 | ) | (124,431 | ) | (178,455 | ) | 192,855 | |||||||||
|
Written options |
1,890,881 | 76,631 | 102,333 | 491,979 | ||||||||||||
|
Net realized gain (loss) |
10,497,299 | (93,042 | ) | (567,980 | ) | 566,259 | ||||||||||
|
Net change in unrealized appreciation/depreciation on: |
||||||||||||||||
|
Investments |
(11,937,631 | ) | 429,161 | 940,288 | 460,654 | |||||||||||
|
Purchased options |
(79,474 | ) | 7,409 | 19,219 | (1,499,081 | ) | ||||||||||
|
Written options |
854,741 | 10,421 | (2,592 | ) | (547,756 | ) | ||||||||||
|
Net change in unrealized appreciation/depreciation |
(11,162,364 | ) | 446,991 | 956,915 | (1,586,183 | ) | ||||||||||
|
Net realized and unrealized loss on investments |
(665,065 | ) | 353,949 | 388,935 | (1,019,924 | ) | ||||||||||
|
Net increase (decrease) in net assets from operations |
$ | 510,195 | $ | 391,656 | $ | 457,830 | $ | (806,264 | ) | |||||||
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, 2023 (Unaudited)
|
Overlay
Shares |
Overlay
Shares |
Overlay
Shares |
||||||||||
|
Investment Income |
||||||||||||
|
Dividend income |
$ | 712,851 | $ | 675,484 | $ | 173,317 | ||||||
|
Interest income |
20,832 | 18,658 | 4,041 | |||||||||
|
Total investment income |
733,683 | 694,142 | 177,358 | |||||||||
|
Expenses |
||||||||||||
|
Investment advisory fees |
194,006 | 205,544 | 53,390 | |||||||||
|
Interest expense |
26,003 | 20,245 | 5,037 | |||||||||
|
Total expenses |
220,009 | 225,789 | 58,427 | |||||||||
|
Net Investment Income |
513,674 | 468,353 | 118,931 | |||||||||
|
Realized and Unrealized Gain (Loss) on Investments |
||||||||||||
|
Net realized gain (loss) on: |
||||||||||||
|
Investments |
(2,991,828 | ) | (298,482 | ) | (17,958 | ) | ||||||
|
Purchased options |
(892,214 | ) | (912,967 | ) | (240,997 | ) | ||||||
|
Written options |
377,395 | 508,756 | 130,656 | |||||||||
|
Net realized (loss) |
(3,506,647 | ) | (702,693 | ) | (128,299 | ) | ||||||
|
Net change in unrealized appreciation/depreciation on: |
||||||||||||
|
Investments |
675,794 | (346,976 | ) | 15,556 | ||||||||
|
Purchased options |
29,879 | 64,169 | 13,311 | |||||||||
|
Written options |
114,404 | 36,607 | 18,736 | |||||||||
|
Net change in unrealized appreciation/depreciation |
820,077 | (246,200 | ) | 47,603 | ||||||||
|
Net realized and unrealized loss on investments |
(2,686,570 | ) | (948,893 | ) | (80,696 | ) | ||||||
|
Net increase (decrease) in net assets from operations |
$ | (2,172,896 | ) | $ | (480,540 | ) | $ | 38,235 | ||||
The accompanying notes are an integral part of the financial statements.
19
Overlay Shares Large Cap Equity ETF
Statements of Changes in Net Assets
|
|
Period
Ended |
Year
Ended |
||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 1,175,260 | $ | 1,564,050 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
10,497,299 | 561,511 | ||||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(11,162,364 | ) | (42,168,043 | ) | ||||
|
Net increase (decrease) in net assets resulting from operations |
510,195 | (40,042,482 | ) | |||||
|
From Distributions |
||||||||
|
Distributable earnings |
(4,133,375 | )(1) | (4,899,550 | ) | ||||
|
Return of capital |
— | (4,561,257 | ) | |||||
|
Total distributions |
(4,133,375 | ) | (9,460,807 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
12,251,302 | 130,388,268 | ||||||
|
Cost of shares redeemed |
(124,525,965 | ) | (32,911,208 | ) | ||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
(112,274,663 | ) | 97,477,060 | |||||
|
Total Increase (Decrease) in Net Assets |
(115,897,843 | ) | 47,973,771 | |||||
|
Net Assets |
||||||||
|
Beginning of period |
248,932,914 | 200,959,143 | ||||||
|
End of period |
$ | 133,035,071 | $ | 248,932,914 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
7,725,000 | 5,125,000 | ||||||
|
Shares sold |
400,000 | 3,550,000 | ||||||
|
Shares redeemed |
(3,925,000 | ) | (950,000 | ) | ||||
|
Shares outstanding, end of period |
4,200,000 | 7,725,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
The accompanying notes are an integral part of the financial statements.
20
Overlay Shares Small Cap Equity ETF
Statements of Changes in Net Assets
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 37,707 | $ | 55,182 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(93,042 | ) | (156,627 | ) | ||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
446,991 | (1,284,981 | ) | |||||
|
Net increase (decrease) in net assets resulting from operations |
391,656 | (1,386,426 | ) | |||||
|
From Distributions |
||||||||
|
Distributable earnings |
(136,568 | )(1) | (128,647 | ) | ||||
|
Return of capital |
— | (169,944 | ) | |||||
|
Total distributions |
(136,568 | ) | (298,591 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
— | 3,503,710 | ||||||
|
Cost of shares redeemed |
— | (763,482 | ) | |||||
|
Net increase in net assets resulting from capital share transactions |
— | 2,740,228 | ||||||
|
Total Increase in Net Assets |
255,088 | 1,055,211 | ||||||
|
Net Assets |
||||||||
|
Beginning of period |
7,565,140 | 6,509,929 | ||||||
|
End of period |
$ | 7,820,228 | $ | 7,565,140 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
250,000 | 175,000 | ||||||
|
Shares sold |
— | 100,000 | ||||||
|
Shares redeemed |
— | (25,000 | ) | |||||
|
Shares outstanding, end of period |
250,000 | 250,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
The accompanying notes are an integral part of the financial statements.
21
Overlay Shares Foreign Equity ETF
Statements of Changes in Net Assets
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 68,895 | $ | 169,866 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(567,980 | ) | (419,271 | ) | ||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
956,915 | (2,138,255 | ) | |||||
|
Net increase (decrease) in net assets resulting from operations |
457,830 | (2,387,660 | ) | |||||
|
From Distributions |
||||||||
|
Distributable earnings |
(229,717 | )(1) | (215,661 | ) | ||||
|
Return of capital |
— | (255,800 | ) | |||||
|
Total distributions |
(229,717 | ) | (471,461 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
4,324,570 | 8,701,030 | ||||||
|
Cost of shares redeemed |
— | (1,755,685 | ) | |||||
|
Net increase in net assets resulting from capital share transactions |
4,324,570 | 6,945,345 | ||||||
|
Total Increase in Net Assets |
4,552,683 | 4,086,224 | ||||||
|
Net Assets |
||||||||
|
Beginning of period |
11,045,871 | 6,959,647 | ||||||
|
End of period |
$ | 15,598,554 | $ | 11,045,871 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
525,000 | 250,000 | ||||||
|
Shares sold |
200,000 | 350,000 | ||||||
|
Shares redeemed |
— | (75,000 | ) | |||||
|
Shares outstanding, end of period |
725,000 | 525,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
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
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 213,660 | $ | 109,562 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
566,259 | (294,269 | ) | |||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(1,586,183 | ) | (2,873,272 | ) | ||||
|
Net decrease in net assets resulting from operations |
(806,264 | ) | (3,057,979 | ) | ||||
|
From Distributions |
||||||||
|
Distributable earnings |
(448,362 | )(1) | (83,054 | ) | ||||
|
Return of capital |
— | — | ||||||
|
Total distributions |
(448,362 | ) | (83,054 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
72,669,373 | 20,928,457 | ||||||
|
Cost of shares redeemed |
(10,133,108 | ) | (3,934,950 | ) | ||||
|
Net increase in net assets resulting from capital share transactions |
62,536,265 | 16,993,507 | ||||||
|
Total Increase in Net Assets |
61,281,639 | 13,852,474 | ||||||
|
Net Assets |
||||||||
|
Beginning of period |
26,165,290 | 12,312,816 | ||||||
|
End of period |
$ | 87,446,929 | $ | 26,165,290 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
1,025,000 | 425,000 | ||||||
|
Shares sold |
2,850,000 | 750,000 | ||||||
|
Shares redeemed |
(400,000 | ) | (150,000 | ) | ||||
|
Shares outstanding, end of period |
3,475,000 | 1,025,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
The accompanying notes are an integral part of the financial statements.
23
Overlay Shares Core Bond ETF
Statements of Changes in Net Assets
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 513,674 | $ | 1,282,211 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(3,506,647 | ) | (10,553,514 | ) | ||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
820,077 | (11,318,059 | ) | |||||
|
Net decrease in net assets resulting from operations |
(2,172,896 | ) | (20,589,362 | ) | ||||
|
From Distributions |
||||||||
|
Distributable earnings |
(1,243,959 | )(1) | (3,776,862 | ) | ||||
|
Return of capital |
— | (2,233,575 | ) | |||||
|
Total distributions |
(1,243,959 | ) | (6,010,437 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
4,177,840 | 32,438,070 | ||||||
|
Cost of shares redeemed |
(14,850,330 | ) | (85,105,287 | ) | ||||
|
Net decrease in net assets resulting from capital share transactions |
(10,672,490 | ) | (52,667,217 | ) | ||||
|
Total Decrease in Net Assets |
(14,089,345 | ) | (79,267,016 | ) | ||||
|
Net Assets |
||||||||
|
Beginning of period |
64,633,792 | 143,900,808 | ||||||
|
End of period |
$ | 50,544,447 | $ | 64,633,792 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
3,000,000 | 5,450,000 | ||||||
|
Shares sold |
200,000 | 1,300,000 | ||||||
|
Shares redeemed |
(725,000 | ) | (3,750,000 | ) | ||||
|
Shares outstanding, end of period |
2,475,000 | 3,000,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
The accompanying notes are an integral part of the financial statements.
24
Overlay Shares Short Term Bond ETF
Statements of Changes in Net Assets
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 468,353 | $ | 449,364 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(702,693 | ) | (1,394,909 | ) | ||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
(246,200 | ) | (4,419,157 | ) | ||||
|
Net decrease in net assets resulting from operations |
(480,540 | ) | (5,364,702 | ) | ||||
|
From Distributions |
||||||||
|
Distributable earnings |
(1,194,828 | )(1) | (1,074,490 | ) | ||||
|
Return of capital |
— | (1,203,430 | ) | |||||
|
Total distributions |
(1,194,828 | ) | (2,277,920 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
3,238,905 | 25,602,308 | ||||||
|
Cost of shares redeemed |
(3,198,328 | ) | (2,216,510 | ) | ||||
|
Net increase in net assets resulting from capital share transactions |
40,577 | 23,385,798 | ||||||
|
Total Increase (Decrease) in Net Assets |
(1,634,791 | ) | 15,743,176 | |||||
|
Net Assets |
||||||||
|
Beginning of period |
58,115,527 | 42,372,351 | ||||||
|
End of period |
$ | 56,480,736 | $ | 58,115,527 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
2,650,000 | 1,675,000 | ||||||
|
Shares sold |
150,000 | 1,075,000 | ||||||
|
Shares redeemed |
(150,000 | ) | (100,000 | ) | ||||
|
Shares outstanding, end of period |
2,650,000 | 2,650,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
The accompanying notes are an integral part of the financial statements.
25
Overlay Shares Municipal Bond ETF
Statements of Changes in Net Assets
|
Period
Ended |
Year
Ended |
|||||||
|
From Operations |
||||||||
|
Net investment income |
$ | 118,931 | $ | 137,254 | ||||
|
Net realized gain (loss) on investments, purchased options and written options |
(128,299 | ) | (331,079 | ) | ||||
|
Net change in unrealized appreciation/depreciation on investments, purchased options and written options |
47,603 | (1,390,318 | ) | |||||
|
Net increase (decrease) in net assets resulting from operations |
38,235 | (1,584,143 | ) | |||||
|
From Distributions |
||||||||
|
Distributable earnings |
(310,818 | )(1) | (557,933 | ) | ||||
|
Return of capital |
— | (239,175 | ) | |||||
|
Total distributions |
(310,818 | ) | (797,108 | ) | ||||
|
From Capital Share Transactions |
||||||||
|
Proceeds from shares sold |
3,212,018 | 6,753,353 | ||||||
|
Cost of shares redeemed |
(4,337,148 | ) | (658,205 | ) | ||||
|
Net increase (decrease) in net assets resulting from capital share transactions |
(1,125,130 | ) | 6,095,148 | |||||
|
Total Increase (Decrease) in Net Assets |
(1,397,713 | ) | 3,713,897 | |||||
|
Net Assets |
||||||||
|
Beginning of period |
14,921,807 | 11,207,910 | ||||||
|
End of period |
$ | 13,524,094 | $ | 14,921,807 | ||||
|
Changes in Shares Outstanding |
||||||||
|
Shares outstanding, beginning of period |
675,000 | 425,000 | ||||||
|
Shares sold |
150,000 | 275,000 | ||||||
|
Shares redeemed |
(200,000 | ) | (25,000 | ) | ||||
|
Shares outstanding, end of period |
625,000 | 675,000 | ||||||
|
(1) |
All or a portion of this distribution may be reclassified at year-end through tax adjustments. |
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 |
|||||||||||||||||||||||
|
Income (Loss) from Investment Operations: |
Less Distributions Paid: |
|||||||||||||||||||||||
|
Net
Asset Value, |
Net
investment |
Net
realized |
Total
from |
From
Net |
From
Net |
|||||||||||||||||||
|
Overlay Shares Large Cap Equity ETF |
||||||||||||||||||||||||
|
For the period 09/01/2022 - 02/28/2023 |
$ | 32.22 | 0.17 | (0.14 | ) | 0.03 | (0.57 | ) | — | |||||||||||||||
|
For the year 09/01/2021 - 08/31/2022 |
$ | 39.21 | 0.23 | (5.74 | ) | (5.51 | ) | (0.30 | ) | (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(17) - 08/31/2020 |
$ | 25.00 | 0.20 | 5.15 | 5.35 | (0.23 | ) | (0.04 | ) | |||||||||||||||
|
Overlay Shares Small Cap Equity ETF |
||||||||||||||||||||||||
|
For the period 09/01/2022 - 02/28/2023 |
$ | 30.26 | 0.15 | 1.41 | 1.56 | (0.54 | ) | — | ||||||||||||||||
|
For the year 09/01/2021 - 08/31/2022 |
$ | 37.20 | 0.25 | (5.77 | ) | (5.52 | ) | (0.34 | ) | (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(17) - 08/31/2020 |
$ | 25.00 | 0.19 | (0.68 | )(18) | (0.49 | ) | (0.18 | ) | (0.06 | ) | |||||||||||||
|
Overlay Shares Foreign Equity ETF |
||||||||||||||||||||||||
|
For the period 09/01/2022 - 02/28/2023 |
$ | 21.04 | 0.12 | 0.75 | 0.87 | (0.39 | ) | — | ||||||||||||||||
|
For the year 09/01/2021 - 08/31/2022 |
$ | 27.84 | 0.44 | (6.04 | ) | (5.60 | ) | (0.54 | ) | (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(17) - 08/31/2020 |
$ | 25.00 | 0.73 | (0.73 | )(18) | — | (0.80 | ) | (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) |
Includes interest expense of 0.03%. |
The accompanying notes are an integral part of the financial statements.
28
| Per Share Operating Performance (For a share outstanding throughout each period) |
Ratios/Supplemental Data | |||||||||||||||||||||||||||||||||
|
Less Distributions Paid: |
Ratios
to Average |
|||||||||||||||||||||||||||||||||
|
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 (loss) |
Portfolio turnover rate(5)(6) |
||||||||||||||||||||||||||
| — | (0.57 | ) | $ | 31.68 | 0.18 | %(7) | 0.27 | %(7) | $ | 133,035 | 0.83 | %(13) | 1.10 | % | 1 | % | ||||||||||||||||||
| (0.61 | ) | (1.48 | ) | $ | 32.22 | (14.53 | )% | (14.41 | )% | $ | 248,933 | 0.77 | %(9) | 0.65 | % | 5 | % | |||||||||||||||||
| — | (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 | % | ||||||||||||||||||
| — | (0.54 | ) | $ | 31.28 | 5.36 | % | 5.51 | % | $ | 7,820 | 0.84 | %(14) | 1.02 | % | 1 | % | ||||||||||||||||||
| (0.74 | ) | (1.42 | ) | $ | 30.26 | (15.30 | )% | (15.47 | )% | $ | 7,565 | 0.78 | %(10) | 0.74 | % | 5 | % | |||||||||||||||||
| — | (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 | % | ||||||||||||||||||
| — | (0.39 | ) | $ | 21.52 | 4.20 | % | 4.18 | % | $ | 15,599 | 0.83 | %(13) | 1.13 | % | 19 | % | ||||||||||||||||||
| (0.52 | ) | (1.20 | ) | $ | 21.04 | (20.64 | )% | (20.53 | )% | $ | 11,046 | 0.78 | %(10) | 1.79 | % | 8 | % | |||||||||||||||||
| — | (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 | % | |||||||||||||||||
|
(11) |
Includes interest expense of 0.06%. |
|
(12) |
Includes interest expense of 0.07%. |
|
(13) |
Includes interest expense of 0.08%. |
|
(14) |
Includes interest expense of 0.09%. |
|
(15) |
Includes interest expense of 0.10%. |
|
(16) |
Includes interest expense of 0.12%. |
|
(17) |
Inception Date. |
|
(18) |
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. |
The accompanying notes are an integral part of the financial statements.
29
Overlay Shares ETFs
Financial Highlights
|
Per
Share Operating Performance |
||||||||||||||||||||||||||||
|
Income (Loss) from Investment Operations: |
Less Distributions Paid: |
|||||||||||||||||||||||||||
|
|
Net
Asset |
Net
|
Net
realized |
Total
from |
From
Net |
From
Net |
From
|
|||||||||||||||||||||
|
Overlay Shares Hedged Large Cap Equity ETF |
||||||||||||||||||||||||||||
|
For the period 09/01/2022 - 02/28/2023 |
$ | 25.53 | 0.13 | (0.30 | ) | (0.17 | ) | (0.15 | ) | (0.05 | ) | — | ||||||||||||||||
|
For the year 09/01/2021 - 08/31/2022 |
$ | 28.97 | 0.14 | (3.46 | ) | (3.32 | ) | (0.12 | ) | — | — | |||||||||||||||||
|
For the period 01/14/2021(13) - 08/31/2021 |
$ | 25.00 | 0.04 | 3.93 | 3.97 | — | — | — | ||||||||||||||||||||
|
Overlay Shares Core Bond ETF |
||||||||||||||||||||||||||||
|
For the period 09/01/2022 - 02/28/2023 |
$ | 21.54 | 0.20 | (0.83 | ) | (0.63 | ) | (0.49 | ) | — | — | |||||||||||||||||
|
For the year 09/01/2021 - 08/31/2022 |
$ | 26.40 | 0.26 | (3.99 | ) | (3.73 | ) | (0.23 | ) | (0.43 | ) | (0.47 | ) | |||||||||||||||
|
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(17) - 08/31/2020 |
$ | 25.00 | 0.35 | 1.92 | 2.27 | (0.62 | ) | (0.04 | ) | — | ||||||||||||||||||
|
(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 0.03%. |
The accompanying notes are an integral part of the financial statements.
30
| Per Share Operating Performance (For a share outstanding throughout each period) |
Ratios/Supplemental Data | |||||||||||||||||||||||||||||
|
Less Distributions Paid: |
Ratios
to Average |
|||||||||||||||||||||||||||||
|
Total |
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 (loss) |
Portfolio turnover rate(5)(6) |
|||||||||||||||||||||||
| (0.20 | ) | $ | 25.16 | (0.63 | )% | (0.57 | )% | $ | 87,447 | 0.87 | %(16) | 1.02 | % | 5 | % | |||||||||||||||
| (0.12 | ) | $ | 25.53 | (11.54 | )% | (11.47 | )% | $ | 26,165 | 0.85 | %(15) | 0.51 | % | 24 | % | |||||||||||||||
| — | $ | 28.97 | 15.89 | %(7) | 16.05 | %(7) | $ | 12,313 | 0.81 | %(11) | 0.26 | % | 13 | % | ||||||||||||||||
| (0.49 | ) | $ | 20.42 | (2.89 | )%(7) | (2.79 | )%(7) | $ | 50,544 | 0.85 | %(15) | 1.99 | % | 1 | % | |||||||||||||||
| (1.13 | ) | $ | 21.54 | (14.56 | )% | (14.82 | )% | $ | 64,634 | 0.77 | %(9) | 1.07 | % | 6 | % | |||||||||||||||
| (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 | % | |||||||||||||||
|
(11) |
Includes interest expense of 0.06%. |
|
(12) |
Includes interest expense of 0.07%. |
|
(13) |
Includes interest expense of 0.08%. |
|
(14) |
Includes interest expense of 0.09%. |
|
(15) |
Includes interest expense of 0.10%. |
|
(16) |
Includes interest expense of 0.12%. |
|
(17) |
Inception Date. |
|
(18) |
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. |
The accompanying notes are an integral part of the financial statements.
31
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 |
From Return of capital |
||||||||||||||||||||||
| Overlay Shares Short Term Bond ETF | ||||||||||||||||||||||||||||
| For the period 09/01/2022 - 02/28/2023 | $ | 21.93 | 0.18 | (0.33 | ) | (0.15 | ) | (0.47 | ) | — | — | |||||||||||||||||
| For the year 09/01/2021 - 08/31/2022 | $ | 25.30 | 0.20 | (2.52 | ) | (2.32 | ) | (0.27 | ) | (0.30 | ) | (0.48 | ) | |||||||||||||||
| For the period 01/14/2021(17) - 08/31/2021 | $ | 25.00 | 0.11 | 0.62 | 0.73 | (0.43 | ) | — | — | |||||||||||||||||||
| Overlay Shares Municipal Bond ETF | ||||||||||||||||||||||||||||
| For the period 09/01/2022 - 02/28/2023 | $ | 22.11 | 0.18 | (0.18 | ) | — | (0.47 | ) | — | — | ||||||||||||||||||
| For the year 09/01/2021 - 08/31/2022 | $ | 26.37 | 0.25 | (3.03 | ) | (2.78 | ) | (0.29 | ) | (0.80 | ) | (0.39 | ) | |||||||||||||||
| 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(17) - 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) |
Includes interest expense of 0.03%. |
The accompanying notes are an integral part of the financial statements.
32
| 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 (loss) |
Portfolio
turnover rate(5)(6) |
|||||||||||||||||||||||
| (0.47 | ) | $ | 21.31 | (0.68 | )% | (0.45 | )% | $ | 56,481 | 0.82 | %(12) | 1.71 | % | 1 | % | |||||||||||||||
| (1.05 | ) | $ | 21.93 | (9.39 | )% | (9.41 | )% | $ | 58,116 | 0.77 | %(9) | 0.85 | % | 5 | % | |||||||||||||||
| (0.43 | ) | $ | 25.30 | 2.95 | %(7) | 2.96 | %(7) | $ | 42,372 | 0.77 | %(9) | 0.71 | % | 3 | % | |||||||||||||||
| (0.47 | ) | $ | 21.64 | 0.03 | % | 0.13 | % | $ | 13,524 | 0.82 | %(12) | 1.67 | % | 1 | % | |||||||||||||||
| (1.48 | ) | $ | 22.11 | (11.02 | )% | (11.15 | )% | $ | 14,922 | 0.77 | %(9) | 1.03 | % | 5 | % | |||||||||||||||
| (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 | % | |||||||||||||||
|
(11) |
Includes interest expense of 0.06%. |
|
(12) |
Includes interest expense of 0.07%. |
|
(13) |
Includes interest expense of 0.08%. |
|
(14) |
Includes interest expense of 0.09%. |
|
(15) |
Includes interest expense of 0.10%. |
|
(16) |
Includes interest expense of 0.12%. |
|
(17) |
Inception Date. |
The accompanying notes are an integral part of the financial statements.
33
Overlay Shares ETFs
Notes to Financial Statements
February 28, 2023 (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.
|
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.
34
Overlay Shares ETFs
Notes to Financial Statements
February 28, 2023 (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.
35
Overlay Shares ETFs
Notes to Financial Statements
February 28, 2023 (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, 2023, are as follows:
Overlay Shares Large Cap Equity ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 133,327,979 | $ | — | $ | — | $ | 133,327,979 | ||||||||
|
Money Market Funds |
3,985,517 | — | — | 3,985,517 | ||||||||||||
|
Purchased Put Options |
— | 1,031,130 | — | 1,031,130 | ||||||||||||
|
Total Investments - Assets |
$ | 137,313,496 | $ | 1,031,130 | $ | — | $ | 138,344,626 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 1,869,300 | $ | — | $ | 1,869,300 | ||||||||
Overlay Shares Small Cap Equity ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 7,834,985 | $ | — | $ | — | $ | 7,834,985 | ||||||||
|
Money Market Funds |
98,601 | — | — | 98,601 | ||||||||||||
|
Purchased Put Options |
— | 56,915 | — | 56,915 | ||||||||||||
|
Total Investments - Assets |
$ | 7,933,586 | $ | 56,915 | $ | — | $ | 7,990,501 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 102,425 | $ | — | $ | 102,425 | ||||||||
Overlay Shares Foreign Equity ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 15,627,920 | $ | — | $ | — | $ | 15,627,920 | ||||||||
|
Money Market Funds |
173,161 | — | — | 173,161 | ||||||||||||
|
Purchased Put Options |
— | 116,425 | — | 116,425 | ||||||||||||
|
Total Investments - Assets |
$ | 15,801,081 | $ | 116,425 | $ | — | $ | 15,917,506 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 212,560 | $ | — | $ | 212,560 | ||||||||
36
Overlay Shares ETFs
Notes to Financial Statements
February 28, 2023 (Unaudited) (Continued)
Overlay Shares Hedged Large Cap Equity ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 83,387,379 | $ | — | $ | — | $ | 83,387,379 | ||||||||
|
Money Market Funds |
4,948,335 | — | — | 4,948,335 | ||||||||||||
|
Purchased Put Options |
— | 3,357,545 | — | 3,357,545 | ||||||||||||
|
Total Investments - Assets |
$ | 88,335,714 | $ | 3,357,545 | $ | — | $ | 91,693,259 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 1,229,750 | $ | — | $ | 1,229,750 | ||||||||
Overlay Shares Core Bond ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 50,649,563 | $ | — | $ | — | $ | 50,649,563 | ||||||||
|
Money Market Funds |
1,038,980 | — | — | 1,038,980 | ||||||||||||
|
Purchased Put Options |
— | 375,530 | — | 375,530 | ||||||||||||
|
Total Investments - Assets |
$ | 51,688,543 | $ | 375,530 | $ | — | $ | 52,064,073 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 681,710 | $ | — | $ | 681,710 | ||||||||
Overlay Shares Short Term Bond ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 56,594,450 | $ | — | $ | — | $ | 56,594,450 | ||||||||
|
Money Market Funds |
859,301 | — | — | 859,301 | ||||||||||||
|
Purchased Put Options |
— | 430,920 | — | 430,920 | ||||||||||||
|
Total Investments - Assets |
$ | 57,453,751 | $ | 430,920 | $ | — | $ | 57,884,671 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||
|
Written Put Options |
$ | — | $ | 781,200 | $ | — | $ | 781,200 | ||||||||
Overlay Shares Municipal Bond ETF
|
Level 1 |
Level 2 |
Level 3 |
Total |
|||||||||||||
|
Investments - Assets: |
||||||||||||||||
|
Exchange Traded Funds |
$ | 13,554,332 | $ | — | $ | — | $ | 13,554,332 | ||||||||
|
Money Market Funds |
158,858 | — | — | 158,858 | ||||||||||||
|
Purchased Put Options |
— | 102,680 | — | 102,680 | ||||||||||||
|
Total Investments - Assets |
$ | 13,713,190 | $ | 102,680 | $ | — | $ | 13,815,870 | ||||||||
|
Other Financial Instruments - Liabilities: |
||||||||||||||||