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.