NEOS ETF Trust | |||||||||||||||||||
NEOS Enhanced Income Aggregate Bond ETF | |||||||||||||||||||
Schedule of Investments | |||||||||||||||||||
August 31, 2023 (Unaudited) | |||||||||||||||||||
Investments | Number of Shares | Value | |||||||||||||||||
EXCHANGE TRADED FUNDS — 99.5% (a) | |||||||||||||||||||
iShares Core U.S. Aggregate Bond ETF | 21,852 | $ | 2,115,274 | ||||||||||||||||
Vanguard Total Bond Market ETF | 29,529 | 2,118,706 | |||||||||||||||||
TOTAL EXCHANGE TRADED FUNDS | |||||||||||||||||||
(Cost $4,310,327) | 4,233,980 | ||||||||||||||||||
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 | 3 | $ | 4,000.00 | 9/14/2023 | $ | 1,352,298 | 315 | ||||||||||||
CBOE S&P 500 Index | 3 | $ | 4,025.00 | 9/14/2023 | 1,352,298 | 330 | |||||||||||||
CBOE S&P 500 Index | 3 | $ | 4,100.00 | 9/14/2023 | 1,352,298 | 397 | |||||||||||||
TOTAL PURCHASED OPTIONS | |||||||||||||||||||
(Cost $1,074) | 1,042 | ||||||||||||||||||
SHORT-TERM INVESTMENTS — 0.6% (c)(e) | Number of Shares | ||||||||||||||||||
Money Market Funds (c)(e) | |||||||||||||||||||
First American Treasury Obligations Fund, Class X, 5.261% | 18,043 | 18,043 | |||||||||||||||||
Northern U.S. Government Select Money Market Fund, 5.040% | 6,706 | 6,706 | |||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS | |||||||||||||||||||
(Cost $24,749) | 24,749 | ||||||||||||||||||
TOTAL INVESTMENTS — 100.1% | |||||||||||||||||||
(Cost $4,336,150) | 4,259,771 | ||||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS — (0.1)% | (2,831 | ) | |||||||||||||||||
NET ASSETS — 100.0% | $ | 4,256,940 | |||||||||||||||||
(a) | Fair value of each security within this investment classification exceeds 25% of the Fund’s net assets. Additional information for these securities, including the financial statements is available from the SEC’s EDGAR database at www.sec.gov. | ||||||||||||||||||
(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 August 31, 2023, the aggregate fair market value of those assets was $25,791, representing 0.6% of net assets. | ||||||||||||||||||
(d) | Each contract equals 100 shares. | ||||||||||||||||||
(e) | 7-day net yield. | ||||||||||||||||||
ETF | - Exchange Traded Fund | ||||||||||||||||||
A list of the exchange traded option contracts held by the Fund at August 31, 2023, is as follows: | |||||||||||||||||||
WRITTEN OPTIONS | Contracts (d) | Exercise Price | Expiration Date | Premium Received | Notional Amount | Value | |||||||||||||
PUT OPTIONS | |||||||||||||||||||
CBOE S&P 500 Index | (3) | $ | 4,190.00 | 9/14/2023 | $ | (507 | ) | $ | (1,352,298) | $ | (525 | ) | |||||||
CBOE S&P 500 Index | (3) | $ | 4,240.00 | 9/14/2023 | (642 | ) | (1,352,298) | (653 | ) | ||||||||||
CBOE S&P 500 Index | (3) | $ | 4,290.00 | 9/14/2023 | (867 | ) | (1,352,298) | (885 | ) | ||||||||||
TOTAL WRITTEN OPTIONS | $ | (2,016 | ) | $ | (4,056,894) | $ | (2,063 | ) |
NEOS ETF Trust | |||||||
NEOS Enhanced Income Aggregate Bond ETF | |||||||
Notes to Schedule of Investments | |||||||
August 31, 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 August 31, 2023: |
NEOS Enhanced Income Aggregate Bond ETF | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Investments | ||||||||||||||||
Exchange Traded Funds | $ | 4,233,980 | $ | - | $ | - | $ | 4,233,980 | ||||||||
Purchased Put Options* | - | 1,042 | - | 1,042 | ||||||||||||
Money Market Funds | 24,749 | - | - | 24,749 | ||||||||||||
Total Investments | $ | 4,258,729 | $ | 1,042 | $ | - | $ | 4,259,771 | ||||||||
Other Financial Instruments | ||||||||||||||||
Liabilities | ||||||||||||||||
Written Put Options* | $ | - | $ | (2,063 | ) | $ | - | $ | (2,063 | ) | ||||||
Total Other Financial Instruments | $ | - | $ | (2,063 | ) | $ | - | $ | (2,063 | ) | ||||||
* The table 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. |