# EDGAR Filing Document

**Accession Number:** 0001848758
**File Stem:** 0001145549-23-019533
**Filing Date:** 2023-3
**Character Count:** 12787
**Document Hash:** fdc3ed85376d442f0ff5c6f2c3e2cb2d
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001145549-23-019533.hdr.sgml**: 20230329

**ACCESSION NUMBER**: 0001145549-23-019533

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20230228

**FILED AS OF DATE**: 20230329

**DATE AS OF CHANGE**: 20230329

**PERIOD START**: 20230531

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** SHP ETF Trust
- **CENTRAL INDEX KEY:** 0001848758
- **IRS NUMBER:** 861805230
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-23645
- **FILM NUMBER:** 23775473

**BUSINESS ADDRESS:**
- **STREET 1:** 2434 ELLIS STREET
- **STREET 2:** SUITE 804
- **CITY:** DALLAS
- **STATE:** TX
- **ZIP:** 75204
- **BUSINESS PHONE:** 914.443.5008

**MAIL ADDRESS:**
- **STREET 1:** 2434 ELLIS STREET
- **STREET 2:** SUITE 804
- **CITY:** DALLAS
- **STATE:** TX
- **ZIP:** 75204

## Series and Classes Contracts Data

### NEOS Enhanced Income Aggregate Bond ETF (Series ID: S000077192)

| Class ID   | Class Name                              | Ticker Symbol   |
|:---|:---|:---|
| C000237366 | NEOS Enhanced Income Aggregate Bond ETF |  |

## Nport-Ex

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **SHP ETF Trust** | | |  | | |
| **NEOS Enhanced Income Aggregate Bond ETF** | **NEOS Enhanced Income Aggregate Bond ETF** | **NEOS Enhanced Income Aggregate Bond ETF** | **NEOS Enhanced Income Aggregate Bond ETF** | | |
| **Schedule of Investments** | | |  | | |
| February 28, 2023 (Unaudited) |  |  |  |  |  |
| **Investments** | **Number of Shares** |  |  |  | **Value** |
| **EXCHANGE TRADED FUNDS — 99.1%** |  |  |  |  |  |
| iShares Core U.S. Aggregate Bond ETF | 4856 |  |  |  | $472538 |
| Vanguard Total Bond Market ETF | 6562 |  |  |  | 472923 |
| **TOTAL EXCHANGE TRADED FUNDS** |  |  |  |  |  |
| **(Cost $982,204)** |  |  |  |  | **945461** |
| **PURCHASED OPTIONS — 0.0% (b)(c)** | **Contracts(a)** | **Exercise Price** | **Expiration Date** | **Notional Amount** |  |
| **PUT OPTIONS — 0.0% (b)(c)** |  |  |  |  |  |
| DOW S&P 500 Index | 1 | $3570.00 | 3/10/2023 | $397015 | 80 |
| DOW S&P 500 Index | 1 | $3610.00 | 3/10/2023 | 397015 | 85 |
| **TOTAL PURCHASED OPTIONS** |  |  |  |  |  |
| **(Cost $367)** |  |  |  |  | **165** |
| **SHORT-TERM INVESTMENTS — 1.1%** | **Number of Shares** |  |  |  |  |
| **Money Market Fund** |  |  |  |  |  |
| Northern U.S. Government Select Money Market Fund, 4.215% (d) | 10756 |  |  |  | 10756 |
| **TOTAL SHORT-TERM INVESTMENTS** |  |  |  |  |  |
| **(Cost $10,756)** |  |  |  |  | **10756** |
| **TOTAL INVESTMENTS — 100.2%** |  |  |  |  |  |
| **(Cost $993,327)** |  |  |  |  | **956382** |
| **LIABILITIES IN EXCESS OF OTHER ASSETS — (0.2)% (c)** |  |  |  |  | **(2018)** |
| **NET ASSETS — 100.0%** |  |  |  |  | $**954364** |

---

---

| | |
|:---|:---|
| (a) <br>| Each contract equals 100 shares. |
| (b) <br>| Represents less than 0.05%. |
| (c) <br>| 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 $1,010, representing 0.1% of net assets. |
| (d) <br>| 7-day net yield. |
| ETF | - Exchange Traded Fund |

---

------

---

| |
|:---|
| **SHP ETF Trust** |
| **NEOS Enhanced Income Aggregate Bond 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 (e)** | **Exercise Price** | **Expiration Date** | **Premium Received** | **Notional Amount** | **Value** |
| **PUT OPTIONS** | | |  | | | |
| &nbsp;&nbsp;&nbsp;&nbsp; CBOE S&P 500 Index | (1) | $3730.00 | 3/10/2023 | $(499) | $(397015) | $(292) |
| &nbsp;&nbsp;&nbsp;&nbsp; CBOE S&P 500 Index | (1) | $3770.00 | 3/10/2023 | (719) | (397015) | (490) |
| &nbsp;&nbsp;&nbsp;&nbsp; **TOTAL WRITTEN OPTIONS** |  |  |  | $**(1218)** | $**(794030)** | $**(782)** |

---

(e) <br> Each contract equals 100 shares.

------

---

| |
|:---|
| **SHP ETF Trust** |
| **NEOS Enhanced Income Aggregate Bond 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 Aggregate Bond ETF** | **Level 1** | **Level 2** | **Level 3** | **Total** |
| **Investments** | | | | |
| &nbsp;&nbsp;&nbsp;&nbsp;Exchange Traded Funds | $945461 | $- | $- | $945461 |
| &nbsp;&nbsp;&nbsp;&nbsp;Purchased Put Options\* | 85 | 80 | - | 165 |
| &nbsp;&nbsp;&nbsp;&nbsp;Money Market Fund | 10756 | - | - | 10756 |
| **Total Investments** | $**956302** | $**80** | $**-** | $**956382** |
| **Other Financial Instruments** |  |  |  |  |
| **Liabilities** |  |  |  |  |
| &nbsp;&nbsp;&nbsp;&nbsp;Written Put Options\* | $(782) | $- | $- | $(782) |
| **Total Other Financial Instruments** | $**(782)** | $**-** | $**-** | $**(782)** |
| \* 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. | \* 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. | \* 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. | \* 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. | \* 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. |

---

## Form NPORT-P: Monthly Portfolio Investments Report

### NPORT-P: Part A: General Information

**Item A.1. Information about the Registrant.**

- **a. Name of Registrant:** SHP ETF TRUST

- **b. Investment Company Act file number:** 811-23645

- **c. CIK number of Registrant:** 0001848758

- **d. LEI of Registrant:** 549300Q4QMDLLFX8BQ98

- **e. Address and telephone number of Registrant.**

  - **Street Address 1:** 14785 Preston Road

  - **City:** Dallas

  - **State:** TX

  - **Foreign country:** US

  - **Zip / Postal Code:** 75254

  - **Telephone number:** 914-443-5008

**Item A.2. Information about the Series.**

- **a. Name of Series:** NEOS Enhanced Income Aggregate Bond ETF

- **b. EDGAR series identifier (if any):** S000077192

- **c. LEI of Series:** 549300DPLDPJIDKCEQ92

**Item A.3. Reporting period.**

- **a. Date of fiscal year-end:** 2023-05-31

- **b. Date as of which information is reported:** 2023-02-28

**Item A.4. Final filing**

Does the Fund anticipate that this will be its final filing on Form N-PORT? **No**

### Fund Information

**Total Assets:** $957270.04

**Total Liabilities:** $2919.77

**Net Assets:** $954350.27

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000237366 | -0.96%               | 3.50%                | -2.55%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $0.00                    | $-12349.84                                 |
| Month 2  | $0.00                    | $31302.44                                  |
| Month 3  | $0.00                    | $-28239.26                                 |

**Designated Index Information**

- **Index Name:** N/A

- **Index Identifier:** N/A

### Schedule of Portfolio Investments

| Name                           | Title                                           | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| iShares Core U.S. Aggregate Bo | iShares Core U.S. Aggregate Bond ETF            | CUSIP: 464287226<br>LEI: 549300F7VSXTKBGHJE47 | Long             |  | RF                | US        |      4856 | NS      | $472537.36    | 49.51%            |  |  |  | No            |                  1 | On Loan: No      |
| Northern US Government Select  | Northern US Government Select Money Market Fund | CUSIP: 665162822<br>LEI: N/A                  | Long             | STIV             | RF                | US        |     10756 | NS      | $10755.83     | 1.13%             |  |  |  | No            |                  1 | On Loan: No      |
| Vanguard Total Bond Market ETF | Vanguard Total Bond Market ETF                  | CUSIP: 921937835<br>LEI: N/A                  | Long             |  | RF                | US        |      6562 | NS      | $472923.34    | 49.55%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | S&P DOW  PUT OPT 03/23 3570                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $80.00        | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                            | S&P DOW  PUT OPT 03/23 3610                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |         1 | NC      | $85.00        | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CBOE S&P PUT OPT 03/23 3730                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -1 | NC      | $-292.00      | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                            | CBOE S&P PUT OPT 03/23 3770                     | CUSIP: N/A<br>LEI: N/A                        | N/A              | DE               |  | US        |        -1 | NC      | $-490.00      | -0.05%            |  |  |  | No            |                  1 | On Loan: No      |

### Signature

**Date Signed:** 2023-03-29

**Name of Applicant:** SHP ETF TRUST

**Signature:** /s/ Josh Hunter

**Name of Signer:** Josh Hunter

**Title:** Treasurer