0001145549-23-019533.txt : 20230329 0001145549-23-019533.hdr.sgml : 20230329 20230329161953 ACCESSION NUMBER: 0001145549-23-019533 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230228 FILED AS OF DATE: 20230329 DATE AS OF CHANGE: 20230329 PERIOD START: 20230531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: SHP ETF Trust CENTRAL INDEX KEY: 0001848758 IRS NUMBER: 861805230 STATE OF INCORPORATION: DE FISCAL YEAR END: 0331 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23645 FILM NUMBER: 23775473 BUSINESS ADDRESS: STREET 1: 2434 ELLIS STREET STREET 2: SUITE 804 CITY: DALLAS STATE: TX ZIP: 75204 BUSINESS PHONE: 914.443.5008 MAIL ADDRESS: STREET 1: 2434 ELLIS STREET STREET 2: SUITE 804 CITY: DALLAS STATE: TX ZIP: 75204 0001848758 S000077192 NEOS Enhanced Income Aggregate Bond ETF C000237366 NEOS Enhanced Income Aggregate Bond ETF NPORT-P 1 primary_doc.xml NPORT-P false 0001848758 XXXXXXXX S000077192 C000237366 SHP ETF TRUST 811-23645 0001848758 549300Q4QMDLLFX8BQ98 14785 Preston Road Suite 1000 Dallas 75254 914-443-5008 NEOS Enhanced Income Aggregate Bond ETF S000077192 549300DPLDPJIDKCEQ92 2023-05-31 2023-02-28 N 957270.040000000000 2919.770000000000 954350.270000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 0.000000000000 N N/A N/A iShares Core U.S. Aggregate Bo 549300F7VSXTKBGHJE47 iShares Core U.S. Aggregate Bond ETF 464287226 4856.000000000000 NS USD 472537.360000000000 49.5140384882 Long RF US N 1 N N N Northern US Government Select N/A Northern US Government Select Money Market Fund 665162822 10755.830000000000 NS USD 10755.830000000000 1.1270316925 Long STIV RF US N 1 N N N Vanguard Total Bond Market ETF N/A Vanguard Total Bond Market ETF 921937835 6562.000000000000 NS USD 472923.340000000000 49.5544827582 Long RF US N 1 N N N N/A N/A S&P DOW PUT OPT 03/23 3570 N/A 1.000000000000 NC USD 80.000000000000 0.0083826665 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3570.000000000000 USD 2023-03-10 XXXX -81.020000000000 N N N N/A N/A S&P DOW PUT OPT 03/23 3610 N/A 1.000000000000 NC USD 85.000000000000 0.0089065831 N/A DE US N 1 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3610.000000000000 USD 2023-03-10 XXXX -121.020000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3730 N/A -1.000000000000 NC USD -292.000000000000 -0.0305967326 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3730.000000000000 USD 2023-03-10 XXXX 206.980000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3770 N/A -1.000000000000 NC USD -490.000000000000 -0.0513438321 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3770.000000000000 USD 2023-03-10 XXXX 228.980000000000 N N N 2023-03-29 SHP ETF TRUST /s/ Josh Hunter Josh Hunter Treasurer XXXX NPORT-EX 2 neosenhancedbondconfidential.htm

SHP ETF Trust
            
 
            
NEOS Enhanced Income Aggregate Bond ETF
            
Schedule of Investments
            
 
            
February 28, 2023 (Unaudited)
            
 
            
Investments
  
Number of Shares
          
 
        
Value
  
EXCHANGE TRADED FUNDS — 99.1%
            
 
            
iShares Core U.S. Aggregate Bond ETF
    
4,856
        
 
        
$
472,538
  
Vanguard Total Bond Market ETF
    
6,562
        
 
          
472,923
  
 
              
 
              
TOTAL EXCHANGE TRADED FUNDS
              
 
              
(Cost $982,204)
              
 
          
945,461
  
 
              
 
              
PURCHASED OPTIONS — 0.0% (b)(c)
  
Contracts(a)
    
Exercise Price
  
Expiration Date
  
Notional Amount
          
PUT OPTIONS — 0.0% (b)(c)
              
 
              
DOW S&P 500 Index
    
1
    
$
3,570.00
  
3/10/2023
  
$
397,015
      
80
  
DOW S&P 500 Index
    
1
    
$
3,610.00
  
3/10/2023
    
397,015
      
85
  
 
                
 
                
TOTAL PURCHASED OPTIONS
                
 
                
(Cost $367)
                
 
            
165
  
 
                
 
                
SHORT-TERM INVESTMENTS — 1.1%
  
Number of Shares
          
 
                
Money Market Fund
                
 
                
Northern U.S. Government Select Money Market Fund, 4.215% (d)
    
10,756
          
 
            
10,756
  
TOTAL SHORT-TERM INVESTMENTS
                
 
                
(Cost $10,756)
                
 
            
10,756
  
 
                
 
                
TOTAL INVESTMENTS — 100.2%
                
 
                
(Cost $993,327)
                
 
            
956,382
  
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% (c)
                
 
            
(2,018
)
NET ASSETS — 100.0%
                
 
          
$
954,364
  

(a) 
Each contract equals 100 shares.
(b) 
Represents less than 0.05%.
(c) 
All or a portion of these securities has been segregated as collateral for written option contracts. As of 2/28/2023, the aggregate fair market value of those assets was $1,010, representing 0.1% of net assets.
(d) 
7-day net yield.
ETF
- Exchange Traded Fund

 
SHP ETF Trust
  
NEOS Enhanced Income Aggregate Bond ETF
  
Schedule of Written Options
  
February 28, 2023 (Unaudited)
  
   
A list of the exchange traded option contracts held by the Fund at February 28, 2023, is as follows:
  

WRITTEN OPTIONS
  
Contracts (e)
  
Exercise Price
  
Expiration Date
  
Premium Received
    
Notional Amount
    
Value
  
PUT OPTIONS
                              
CBOE S&P 500 Index
    
(1)
  
$
3,730.00
  
3/10/2023
  
$
(499
)
  
$
(397,015
)
  
$
(292
)
CBOE S&P 500 Index
    
(1)
  
$
3,770.00
  
3/10/2023
    
(719
)
    
(397,015
)
    
(490
)
TOTAL WRITTEN OPTIONS
                    
$
(1,218
)
  
$
(794,030
)
  
$
(782
)

(e) 
Each contract equals 100 shares.
                                          

 
SHP ETF Trust
    
NEOS Enhanced Income Aggregate Bond ETF
    
Notes to Quarterly Schedule of Investments
    
February 28, 2023 (Unaudited)
    
               
Investment Valuation
            
The Fund discloses the fair value of their investments in a hierarchy that distinguishes between: (1) market participant assumptions developed based on market data obtained from sources independent of the Fund’s (observable inputs) and (2) the Fund’s own assumptions about market participant assumptions developed based on the best information available under the circumstances (unobservable inputs). The three levels defined by the hierarchy are as follows:
               
• Level 1 — Quoted prices in active markets for identical assets that the Fund’s have the ability to access.
      
• Level 2 — Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
• Level 3 — Significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments).
               
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
               
The following is a summary of the inputs used to value the Fund’s investments as of February 28, 2023:

NEOS Enhanced Income Aggregate Bond ETF
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments
                        
   Exchange Traded Funds
  
$
945,461
    
$
-
    
$
-
    
$
945,461
  
   Purchased Put Options*
    
85
      
80
      
-
      
165
  
   Money Market Fund
    
10,756
      
-
      
-
      
10,756
  
Total Investments
  
$
956,302
    
$
80
    
$
-
    
$
956,382
  
Other Financial Instruments
                                
Liabilities
                                
   Written Put Options*
  
$
(782
)
  
$
-
    
$
-
    
$
(782
)
Total Other Financial Instruments
  
$
(782
)
  
$
-
    
$
-
    
$
(782
)
                                 
* The tables above are based on market values or unrealized appreciation/(depreciation) rather than the notional amounts of derivatives. The uncertainties surrounding the valuation inputs for a derivative are likely to be more significant to a Fund’s NAV than the uncertainties surrounding inputs for a non-derivative security with the same market value.