0001145549-23-019537.txt : 20230329 0001145549-23-019537.hdr.sgml : 20230329 20230329162058 ACCESSION NUMBER: 0001145549-23-019537 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: 23775493 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 S000077193 NEOS Enhanced Income Cash Alternative ETF C000237367 NEOS Enhanced Income Cash Alternative ETF NPORT-P 1 primary_doc.xml NPORT-P false 0001848758 XXXXXXXX S000077193 C000237367 SHP ETF TRUST 811-23645 0001848758 549300Q4QMDLLFX8BQ98 14785 Preston Road Suite 1000 Dallas 75254 914-443-5008 NEOS Enhanced Income Cash Alternative ETF S000077193 549300NLTJHFNOAGFY76 2023-05-31 2023-02-28 N 19507813.040000000000 16507.510000000000 19491305.530000000000 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 170000.000000000000 N N/A N/A First American Treasury Obliga 549300UU586IAH2B8H03 First American Treasury Obligations Fund 31846V328 3296557.380000000000 NS USD 3296557.380000000000 16.9129634489 Long STIV RF US N 1 N N N Northern US Government Select N/A Northern US Government Select Money Market Fund 665162822 82518.660000000000 NS USD 82518.660000000000 0.4233613796 Long STIV RF US N 1 N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912796CW7 4571000.000000000000 PA USD 4534360.460000000000 23.2635030682 Long DBT UST US N 2 2023-05-02 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912796U31 3437000.000000000000 PA USD 3427918.450000000000 17.5869104546 Long DBT UST US N 2 2023-03-23 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912796YU7 4554000.000000000000 PA USD 4529733.010000000000 23.2397619699 Long DBT UST US N 2 2023-04-13 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797FF9 3500000.000000000000 PA USD 3462678.840000000000 17.7652483805 Long DBT UST US N 2 2023-05-23 Fixed .000000000000 N N N N N N N/A N/A CBOE S&P PUT OPT 03/23 3450 N/A 12.000000000000 NC USD 480.000000000000 0.0024626365 N/A DE US N 1 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3450.000000000000 USD 2023-03-10 XXXX -602.240000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3475 N/A 12.000000000000 NC USD 576.000000000000 0.0029551638 N/A DE US N 1 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3475.000000000000 USD 2023-03-10 XXXX -616.240000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3525 N/A 12.000000000000 NC USD 660.000000000000 0.0033861252 N/A DE US N 1 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3525.000000000000 USD 2023-03-10 XXXX -846.240000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3600 N/A -12.000000000000 NC USD -1092.000000000000 -0.0056024980 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3600.000000000000 USD 2023-03-10 XXXX 1187.760000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3650 N/A 12.000000000000 NC USD 1620.000000000000 0.0083113981 N/A DE US N 1 Cboe Options Exchange N/A Put Purchased SandP 500 Index US6488151084 100.000000000000 3650.000000000000 USD 2023-03-10 XXXX -1616.240000000000 N N N N/A N/A S&P DOW PUT OPT 03/23 3690 N/A -12.000000000000 NC USD -1836.000000000000 -0.0094195845 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3690.000000000000 USD 2023-03-10 XXXX 2577.760000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3740 N/A -12.000000000000 NC USD -3336.000000000000 -0.0171153235 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3740.000000000000 USD 2023-03-10 XXXX 3445.760000000000 N N N N/A N/A CBOE S&P PUT OPT 03/23 3775 N/A -12.000000000000 NC USD -5820.000000000000 -0.0298594673 N/A DE US N 1 Cboe Options Exchange N/A Put Written SandP 500 Index US6488151084 100.000000000000 3775.000000000000 USD 2023-03-10 XXXX 3533.760000000000 N N N 2023-03-29 SHP ETF TRUST /s/ Josh Hunter Josh Hunter Treasurer XXXX NPORT-EX 2 neoscashaltconfidential.htm

SHP ETF Trust
    
NEOS Enhanced Income Cash Alternative ETF
    
Schedule of Investments
    
February 28, 2023 (Unaudited)
    
Investments
  
Par Value
                  
Value
  
U.S. TREASURY OBLIGATIONS — 99.3%
                          
U.S. Treasury Bills,
                          
4.283%, due 3/23/2023 (a)
  
$
3,437,000
                  
$
3,427,918
  
4.551%, due 4/13/2023 (a)
    
4,554,000
                    
4,529,733
  
4.527%, due 5/2/2023 (a)
    
4,571,000
                    
4,534,360
  
4.675%, due 5/23/2023 (a)
    
9,437,000
                    
9,336,372
  
                               
TOTAL U.S. TREASURY OBLIGATIONS
                              
(Cost $21,829,689)
                          
21,828,383
  
                               
PURCHASED OPTIONS — 0.0% (b)(c)
  
Contracts (d)
    
Exercise Price
  
Expiration Date
  
Notional Amount
          
PUT OPTIONS — 0.0% (b)(c)
                              
CBOE S&P 500 Index
    
14
    
$
3,450.00
  
3/10/2023
  
$
5,558,210
      
560
  
CBOE S&P 500 Index
    
14
    
$
3,475.00
  
3/10/2023
    
5,558,210
      
672
  
CBOE S&P 500 Index
    
13
    
$
3,525.00
  
3/10/2023
    
5,161,195
      
715
  
CBOE S&P 500 Index
    
13
    
$
3,650.00
  
3/10/2023
    
5,161,195
      
1,755
  
                                   
TOTAL PURCHASED OPTIONS
                                  
(Cost $7,354)
                              
3,702
  
                                   
SHORT-TERM INVESTMENTS — 15.4%
  
Number of Shares
                            
Money Market Funds
                                  
First American Treasury Obligations Fund, Class X, 4.480% (e)
    
3,296,557
                        
3,296,557
  
Northern U.S. Government Select Money Market Fund, 4.215% (e)
    
82,519
                        
82,519
  
TOTAL SHORT-TERM INVESTMENTS
                                  
(Cost $3,379,076)
                              
3,379,076
  
                                   
TOTAL INVESTMENTS — 114.7%
                                  
(Cost $25,216,119)
                              
25,211,161
  
LIABILITIES IN EXCESS OF OTHER ASSETS — (14.7)% (c)
                              
(3,221,252
)
NET ASSETS — 100.0%
                            
$
21,989,909
  

(a) 
The rate shown is yield to maturity.
                              
(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 $173,702, representing 0.8% of net assets.
  
(d) 
Each contract equals 100 shares.
                              
(e) 
7-day net yield.
                              

 
SHP ETF Trust
  
NEOS Enhanced Income Cash Alternative 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 (f)
  
Exercise Price
  
Expiration Date
  
Premium Received
    
Notional Amount
    
Value
  
PUT OPTIONS
                              
CBOE S&P 500 Index
    
(14)
  
$
3,600.00
  
3/10/2023
  
$
(2,435
)
  
$
(5,558,210
)
  
$
(1,274
)
CBOE S&P 500 Index
    
(13)
  
$
3,740.00
  
3/10/2023
    
(7,050
)
    
(5,161,195
)
    
(3,614
)
CBOE S&P 500 Index
    
(13)
  
$
3,775.00
  
3/10/2023
    
(9,771
)
    
(5,161,195
)
    
(6,305
)
CBOE S&P 500 Index
    
(14)
  
$
3,690.00
  
3/10/2023
    
(4,718
)
    
(5,558,210
)
    
(2,142
)
TOTAL WRITTEN OPTIONS
                    
$
(23,974
)
  
$
(21,438,810
)
  
$
(13,335
)

(f) 
Each contract equals 100 shares.
                                          

 
SHP ETF Trust
    
NEOS Enhanced Income Cash Alternative 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 Cash Alternative ETF
  
Level 1
    
Level 2
    
Level 3
    
Total
  
Investments
                        
   U.S. Treasury Bills
  
$
-
    
$
21,828,383
    
$
-
    
$
21,828,383
  
   Purchased Put Options*
    
3,702
      
-
      
-
      
3,702
  
   Money Market Funds
    
3,379,076
      
-
      
-
      
3,379,076
  
Total Investments
  
$
3,382,778
    
$
21,828,383
    
$
-
    
$
25,211,161
  
Other Financial Instruments
                                
Liabilities
                                
   Written Put Options*
  
$
(13,335
)
  
$
-
    
$
-
    
$
(13,335
)
Total Other Financial Instruments
  
$
(13,335
)
  
$
-
    
$
-
    
$
(13,335
)

* 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.