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.