0001145549-24-025353.txt : 20240426 0001145549-24-025353.hdr.sgml : 20240426 20240426144101 ACCESSION NUMBER: 0001145549-24-025353 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20240229 FILED AS OF DATE: 20240426 DATE AS OF CHANGE: 20240426 PERIOD START: 20240531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: NEOS ETF Trust CENTRAL INDEX KEY: 0001848758 ORGANIZATION NAME: IRS NUMBER: 861805230 STATE OF INCORPORATION: DE FISCAL YEAR END: 0531 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-23645 FILM NUMBER: 24882314 BUSINESS ADDRESS: STREET 1: 13 RIVERSIDE AVE CITY: WESTPORT STATE: CT ZIP: 06880 BUSINESS PHONE: 914.443.5008 MAIL ADDRESS: STREET 1: 13 RIVERSIDE AVE CITY: WESTPORT STATE: CT ZIP: 06880 FORMER COMPANY: FORMER CONFORMED NAME: SHP ETF Trust DATE OF NAME CHANGE: 20210302 0001848758 S000077193 NEOS Enhanced Income 1-3 Month T-Bill ETF C000237367 NEOS Enhanced Income 1-3 Month T-Bill ETF CSHI NPORT-P 1 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Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797JP3 65304000.000000000000 PA USD 64796370.460000000000 20.5704713485 Long DBT UST US N 2 2024-04-23 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797JX6 16324000.000000000000 PA USD 16132072.530000000000 5.1213414180 Long DBT UST US N 2 2024-05-21 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797LL9 1100000.000000000000 PA USD 1096770.280000000000 0.3481843421 Long DBT UST US N 2 2024-03-21 Fixed .000000000000 N N N N N N First American Treasury Obliga 549300UU586IAH2B8H03 First American Treasury Obligations Fund 31846V328 889701.650000000000 NS USD 889701.650000000000 0.2824476459 Long STIV RF US N 1 N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797HR1 36238000.000000000000 PA USD 35800580.520000000000 11.3653714030 Long DBT UST US N 2 2024-05-23 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797JG3 18186000.000000000000 PA USD 18175360.100000000000 5.7700102881 Long DBT UST US N 2 2024-03-05 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797JK4 2200000.000000000000 PA USD 2191925.690000000000 0.6958560222 Long DBT UST US N 2 2024-03-26 Fixed .000000000000 N N N N N N N/A N/A CBOE S&P PUT OPT 03/24 4350 N/A 154.000000000000 NC USD 4620.000000000000 0.0014666806 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4350.000000000000 USD 2024-03-07 XXXX -10436.140000000000 N N N Northern US Government Select N/A Northern US Government Select Money Market Fund 665162822 392146.100000000000 NS USD 392146.100000000000 0.1244920056 Long STIV RF US N 1 N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797GX9 20778000.000000000000 PA USD 20738469.650000000000 6.5837035735 Long DBT UST US N 2 2024-03-14 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797GY7 28669000.000000000000 PA USD 28555578.270000000000 9.0653488841 Long DBT UST US N 2 2024-03-28 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797GZ4 18525000.000000000000 PA USD 18432592.850000000000 5.8516722527 Long DBT UST US N 2 2024-04-04 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797HG5 23154000.000000000000 PA USD 22967206.730000000000 7.2912458621 Long DBT UST US N 2 2024-04-25 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797HH3 32903000.000000000000 PA USD 32604623.750000000000 10.3507723336 Long DBT UST US N 2 2024-05-02 Fixed .000000000000 N N N N N N United States Treasury Bill 254900HROIFWPRGM1V77 United States Treasury Bill 912797HQ3 32718000.000000000000 PA USD 32388931.840000000000 10.2822980623 Long DBT UST US N 2 2024-05-09 Fixed .000000000000 N N N N N N N/A N/A CBOE S&P PUT OPT 03/24 4400 N/A 154.000000000000 NC USD 4620.000000000000 0.0014666806 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4400.000000000000 USD 2024-03-07 XXXX -12124.140000000000 N N N N/A N/A CBOE S&P PUT OPT 03/24 4450 N/A 154.000000000000 NC USD 5390.000000000000 0.0017111273 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4450.000000000000 USD 2024-03-07 XXXX -12736.140000000000 N N N N/A N/A S&P DOW PUT OPT 03/24 4575 N/A -154.000000000000 NC USD -6160.000000000000 -0.0019555741 N/A DE US N 2 Cboe Options Exchange N/A Put Written S&P 500 INDEX US78378X1072 100.000000000000 4575.000000000000 USD 2024-03-07 XXXX 16104.860000000000 N N N N/A N/A S&P DOW PUT OPT 03/24 4625 N/A 154.000000000000 NC USD 6545.000000000000 0.0020777975 N/A DE US N 2 Cboe Options Exchange N/A Put Purchased S&P 500 INDEX US78378X1072 100.000000000000 4625.000000000000 USD 2024-03-07 XXXX -19262.140000000000 N N N N/A N/A S&P DOW PUT OPT 03/24 4675 N/A -154.000000000000 NC USD -7315.000000000000 -0.0023222442 N/A DE US N 2 Cboe Options Exchange N/A Put Written S&P 500 INDEX US78378X1072 100.000000000000 4675.000000000000 USD 2024-03-07 XXXX 21246.860000000000 N N N N/A N/A S&P DOW PUT OPT 03/24 4725 N/A -154.000000000000 NC USD -8085.000000000000 -0.0025666910 N/A DE US N 2 Cboe Options Exchange N/A Put Written S&P 500 INDEX US78378X1072 100.000000000000 4725.000000000000 USD 2024-03-07 XXXX 25235.860000000000 N N N N/A N/A CBOE S&P PUT OPT 03/24 4775 N/A -154.000000000000 NC USD -9240.000000000000 -0.0029333611 N/A DE US N 2 Cboe Options Exchange N/A Put Written S&P 500 INDEX US78378X1072 100.000000000000 4775.000000000000 USD 2024-03-07 XXXX 31755.860000000000 N N N 2024-03-13 NEOS ETF Trust /s/ Josh Hunter Josh Hunter Treasurer XXXX NPORT-EX 2 cshi2.htm

NEOS Enhanced Income 1-3 Month T-Bill ETF
  
Schedule of Investments
  
as of February 29, 2024 (Unaudited)
  
   
PURCHASED OPTIONS - 0.0%(a)(b)(c)
  
Notional Amount
    
Contracts
    
Value
  
Put Options - 0.0%(c)
          
$
–
  
S&P 500 Index
      
–
    
$
–
  
Expiration: 03/14/2024; Exercise Price: $4,625.00(d)
  
$
78,482,558
      
154
    
$
25,795
  
Expiration: 03/14/2024; Exercise Price: $4,450.00(d)
    
78,482,558
      
154
      
18,095
  
Expiration: 03/14/2024; Exercise Price: $4,400.00(d)
    
78,482,558
      
154
      
16,555
  
Expiration: 03/14/2024; Exercise Price: $4,350.00(d)
    
78,482,558
      
154
      
15,015
  
Total Put Options
                    
75,460
  
TOTAL PURCHASED OPTIONS (Cost $71,746)
      
75,460
  
                         
SHORT-TERM INVESTMENTS - 100.0%
                  
Money Market Funds - 0.4%
    
Shares
          
First American Treasury Obligations Fund - Class X, 5.23%(d)(e)
      
889,702
      
889,702
  
Northern U.S. Government Select Money Market Fund, 5.03%(d)(e)
      
392,146
      
392,146
  
                     
1,281,848
  
U.S. Treasury Bills - 99.6%
    
Par
          
5.29%(f), 03/05/2024
    
$
18,186,000
      
18,175,360
  
5.28%(f), 03/14/2024
      
20,778,000
      
20,738,470
  
5.28%(f), 03/21/2024
      
1,100,000
      
1,096,770
  
5.23%(f), 03/26/2024
      
2,200,000
      
2,191,926
  
5.28%(f), 03/28/2024
      
28,669,000
      
28,555,578
  
5.25%(f), 04/02/2024
      
9,664,000
      
9,618,515
  
5.28%(f), 04/04/2024
      
18,525,000
      
18,432,593
  
5.26%(f), 04/16/2024
      
10,365,000
      
10,295,044
  
5.23%(f), 04/23/2024
      
65,304,000
      
64,796,369
  
5.27%(f), 04/25/2024
      
23,154,000
      
22,967,207
  
5.28%(f), 05/02/2024
      
32,903,000
      
32,604,624
  
5.28%(f), 05/09/2024
      
32,718,000
      
32,388,932
  
5.27%(f), 05/21/2024
      
16,324,000
      
16,132,073
  
5.30%(f), 05/23/2024
      
36,238,000
      
35,800,580
  
       
313,794,041
  
TOTAL SHORT-TERM INVESTMENTS (Cost $315,099,723)
      
315,075,889
  
                         
TOTAL INVESTMENTS - 100.0% (Cost $315,171,469)
    
$
315,151,349
  
Liabilities in Excess of Other Assets – (0.0)%(c)
      
(163,051
)
TOTAL NET ASSETS - 100.0%
                  
$
314,988,298
  
           
Percentages are stated as a percent of net assets.
          

(a)
Exchange-traded.
(b)
100 shares per contract.
(c)
Represents less than 0.05% of net assets.
(d)
All or a portion of security has been pledged as collateral. The total value of assets committed as collateral as of February 29, 2024 is $1,357,308.
(e)
The rate shown represents the 7-day effective yield as of February 29, 2024.
(f)
The rate shown is the effective yield.
NEOS Enhanced Income 1-3 Month T-Bill ETF
  
Schedule of Options Written
  
as of February 29, 2024 (Unaudited)
  
   
OPTIONS WRITTEN - 0.0% (a)(b)(c)
  
Notional Amount
    
Contracts
    
Value
  
Put Options - 0.0% (b)
                  
S&P 500 Index
    
0
      
0
      
–
  
Expiration: 03/14/2024; Exercise Price: $4,575.00
  
$
(78,482,558
)
    
(154
)
  
$
(23,100
)
Expiration: 03/14/2024; Exercise Price: $4,775.00
    
(78,482,558
)
    
(154
)
    
(40,425
)
Expiration: 03/14/2024; Exercise Price: $4,675.00
    
(78,482,558
)
    
(154
)
    
(29,260
)
Expiration: 03/14/2024; Exercise Price: $4,725.00
    
(78,482,558
)
    
(154
)
    
(33,880
)
Total Put Options
                    
(126,665
)
TOTAL OPTIONS WRITTEN (Premiums received $116,801)
                  
$
(126,665
)
                         
Percentages are stated as a percent of net assets.
                        

(a)
Exchange-traded.
(b)
Represents less than 0.05% of net assets.
(c)
100 shares per contract.
NEOS ETF Trust
NEOS Enhanced Income 1-3 Month T-Bill ETF
Notes to Schedule of Investments
February 29, 2024 (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 has 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 29, 2024:

NEOS Enhanced Income 1-3 Month T-Bill ETF
  
   
Level 1
    
Level 2
    
Level 3
    
Total
  
Assets:
                        
  Purchased Options
  
$
–
    
$
75,460
    
$
–
    
$
75,460
  
  Money Market Funds
    
1,281,848
      
–
      
–
      
1,281,848
  
  U.S. Treasury Bills
    
–
      
313,794,041
      
–
      
313,794,041
  
Total Assets
  
$
1,281,848
    
$
313,869,501
    
$
–
    
$
315,151,349
  
                                 
Liabilities:
                                
  Options Written
  
$
–
    
$
(126,665
)
  
$
–
    
$
(126,665
)
Total Liabilities
  
$
–
    
$
(126,665
)
  
$
–
    
$
(126,665
)
                                 
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.