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
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. |