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.