Schedule of Investments ─ IQ Merger Arbitrage ETF
January 31, 2024 (unaudited)
Shares | Value | |||||||
Common Stocks — 82.7% | ||||||||
Consumer Discretionary — 12.2% | ||||||||
Benesse Holdings, Inc. | 152,214 | $ | 2,717,828 | |||||
Capri Holdings Ltd.* | 316,151 | 15,409,200 | ||||||
NEOGAMES SA* | 41,979 | 1,174,573 | ||||||
Rover Group, Inc.* | 454,301 | 4,970,053 | ||||||
Six Flags Entertainment Corp.* | 307,195 | 7,744,386 | ||||||
Vitesco Technologies Group AG* | 15,141 | 1,333,020 | ||||||
Wyndham Hotels & Resorts, Inc. | 67,310 | 5,245,468 | ||||||
Total Consumer Discretionary | 38,594,528 | |||||||
Consumer Staples — 3.7% | ||||||||
Costa Group Holdings Ltd. | 981,272 | 2,062,777 | ||||||
Sovos Brands, Inc.* (a) | 437,803 | 9,653,556 | ||||||
Total Consumer Staples | 11,716,333 | |||||||
Energy — 12.1% | ||||||||
Euronav NV | 42,078 | 745,026 | ||||||
Hess Corp. | 129,418 | 18,187,111 | ||||||
PGS ASA* | 2,359,766 | 1,498,465 | ||||||
Pioneer Natural Resources Co. | 78,532 | 18,049,010 | ||||||
Total Energy | 38,479,612 | |||||||
Financials — 1.2% | ||||||||
American National Bankshares, Inc. | 27,416 | 1,241,671 | ||||||
Cambridge Bancorp | 16,489 | 1,130,980 | ||||||
National Western Life Group, Inc., Class A | 3,149 | 1,524,116 | ||||||
Total Financials | 3,896,767 | |||||||
Health Care — 22.7% | ||||||||
Amedisys, Inc.* | 85,371 | 8,047,924 | ||||||
Cerevel Therapeutics Holdings, Inc.* | 161,850 | 6,781,515 | ||||||
Icosavax, Inc.* | 51,929 | 795,033 | ||||||
ImmunoGen, Inc.* (b) | 619,807 | 18,172,741 | ||||||
Karuna Therapeutics, Inc.* | 62,018 | 19,437,682 | ||||||
Olink Holding AB* (a) | 235,520 | 5,765,530 | ||||||
RayzeBio, Inc.* | 188,233 | 11,689,269 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 20,563 | 1,210,076 | ||||||
Total Health Care | 71,899,770 | |||||||
Industrials — 4.6% | ||||||||
Benefit One, Inc. | 227,331 | 3,297,019 | ||||||
Daseke, Inc.* | 158,328 | 1,288,790 | ||||||
Eagle Bulk Shipping, Inc. | 23,551 | 1,298,367 | ||||||
Hawaiian Holdings, Inc.* | 139,034 | 1,981,234 | ||||||
Outsourcing, Inc.* | 181,226 | 2,157,231 | ||||||
PGT Innovations, Inc.* | 55,091 | 2,270,851 | ||||||
SP Plus Corp.* | 43,328 | 2,241,357 | ||||||
Total Industrials | 14,534,849 | |||||||
Information Technology — 9.3% | ||||||||
Alteryx, Inc., Class A* | 236,312 | 11,215,367 | ||||||
Splunk, Inc.* | 120,045 | 18,411,302 | ||||||
Total Information Technology | 29,626,669 | |||||||
Materials — 16.4% | ||||||||
JSR Corp.(a) | 557,121 | 15,378,712 | ||||||
United States Steel Corp. | 403,494 | 18,972,288 | ||||||
Westrock Co. | 441,857 | 17,789,163 | ||||||
Total Materials | 52,140,163 | |||||||
Real Estate — 0.5% | ||||||||
Intervest Offices & Warehouses NV | 63,248 | 1,429,023 | ||||||
Total Common Stocks | ||||||||
(Cost $263,833,296) | 262,317,714 | |||||||
Investment Company — 3.4% | ||||||||
Fixed Income Fund — 3.4% | ||||||||
iShares Short Treasury Bond ETF(a) | ||||||||
(Cost $10,804,713) | 98,004 | 10,836,303 |
Shares | Value | |||||||
Rights — 0.1% | ||||||||
Health Care — 0.1% | ||||||||
Chinook Therapeutics, Inc.*(c) | 435,560 | $ | 169,868 | |||||
Epizyme, Inc.*(c) | 1,957,185 | 39,144 | ||||||
Radius Health, Inc.*(c) | 177,390 | 14,191 | ||||||
Supernus Pharmaceuticals, Inc., expires 12/31/24*(c) | 333,265 | 19,996 | ||||||
Supernus Pharmaceuticals, Inc., expires 12/31/25*(c) | 333,265 | 19,996 | ||||||
Total Rights | ||||||||
(Cost $0) | 263,195 | |||||||
Short-Term Investments — 15.0% | ||||||||
Money Market Funds — 15.0% | ||||||||
Dreyfus Government Cash Management Fund, Institutional Shares, 5.23%(d)(e) | 13,934,104 | 13,934,104 | ||||||
Dreyfus Institutional Preferred Government Money Market Fund, Institutional Shares, 5.30%(d) | 33,529,390 | 33,529,390 | ||||||
Total Short-Term Investments | ||||||||
(Cost $47,463,494) | 47,463,494 | |||||||
Total Investments — 101.2% | ||||||||
(Cost $322,101,503) | 320,880,706 | |||||||
Other Assets and Liabilities, Net — (1.2)% | (3,847,994 | ) | ||||||
Net Assets — 100% | $ | 317,032,712 |
1
* | Non-income producing securities. |
(a) | All or a portion of the security was on loan. In addition, “Other Assets and Liabilities, Net” may include pending sales that are also on loan. The aggregate market value of securities on loan was $14,338,504; total market value of collateral held by the Fund was $14,900,214. Market value of the collateral held includes non-cash U.S. Treasury securities collateral having a value of $966,110. |
(b) | All or a portion of these securities have been segregated as collateral for swap contracts. The total value of securities segregated amounted to $2,668,120. |
(c) | Securities are fair valued as determined in good faith in accordance with the procedures established by the Board of Trustees. The securities are fair valued using significant unobservable inputs. |
(d) | Reflects the 1-day yield at January 31, 2024. |
(e) | Represents security purchased with cash collateral received for securities on loan. |
1
Schedule of Investments ─ IQ Merger Arbitrage ETF (continued)
January 31, 2024 (unaudited)
Total Return Swap contracts outstanding at January 31, 2024: | ||||||||||||||||
Total Return Benchmark | Counterparty | Floating Rate(f) | Expiration Date | Payment Frequency | Notional | Value/ | ||||||||||
Consumer Discretionary Select Sector SPDR Fund | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | $ | (4,839,429 | ) | $ | — | |||||||
Consumer Discretionary Select Sector SPDR Fund | Morgan Stanley | 1-Day FEDEF - 0.05% | 2/05/2025 | Monthly | (4,839,429 | ) | — | |||||||||
Energy Select Sector SPDR Fund | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | (18,041,750 | ) | — | |||||||||
Energy Select Sector SPDR Fund | Morgan Stanley | 1-Day FEDEF - 0.10% | 2/05/2025 | Monthly | (18,041,750 | ) | — | |||||||||
Industrial Select Sector SPDR Fund | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | (208,056 | ) | — | |||||||||
Industrial Select Sector SPDR Fund | Morgan Stanley | 1-Day FEDEF - 0.15% | 2/05/2025 | Monthly | (208,056 | ) | — | |||||||||
Materials Select Sector SPDR Fund | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | (642,307 | ) | — | |||||||||
Materials Select Sector SPDR Fund | Morgan Stanley | 1-Day FEDEF - 0.25% | 2/05/2025 | Monthly | (642,307 | ) | — | |||||||||
SPDR S&P Regional Banking ETF | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | (1,204,877 | ) | — | |||||||||
SPDR S&P Regional Banking ETF | Morgan Stanley | 1-Day FEDEF - 0.75% | 2/05/2025 | Monthly | (1,204,877 | ) | — | |||||||||
Vanguard FTSE Europe ETF | Merrill Lynch | 1-Day FEDEF | 8/30/2024 | Monthly | (8,992,646 | ) | — | |||||||||
Vanguard FTSE Europe ETF | Morgan Stanley | 1-Day FEDEF | 2/05/2025 | Monthly | (8,992,646 | ) | — | |||||||||
$ | — |
The total value of securities segregated as collateral for swap contracts with counterparty Morgan Stanley amounted to $2,668,120 and with Merrill Lynch amounted to $– at January 31, 2024. The Fund either receives fees from, or pays to the counterparty, the total return of the benchmark and the agreed-upon financing rate.
(f) Portfolio pays or receives the floating rate and receives or pays the total return of the reference rate entity.
(g) Reflects the value at reset date of January 31, 2024.
Abbreviation
FEDEF — Federal Funds Effective Rate
The following is a summary of the inputs used to value the Fund's investments as of January 31, 2024. For more information on the valuation techniques, and their aggregation into the levels used in the table below, please refer to the Fund's most recent semi-annual or annual financial statements.
Description | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Asset Valuation Inputs | ||||||||||||||||
Investments in Securities:(h) | ||||||||||||||||
Common Stocks | $ | 262,317,714 | $ | — | $ | — | $ | 262,317,714 | ||||||||
Investment Company | 10,836,303 | — | — | 10,836,303 | ||||||||||||
Rights | — | — | 263,195 | (i) | 263,195 | |||||||||||
Short-Term Investments: | ||||||||||||||||
Money Market Funds | 47,463,494 | — | — | 47,463,494 | ||||||||||||
Total Investments in Securities | 320,617,511 | — | 263,195 | 320,880,706 | ||||||||||||
Other Financial Instruments:(j) | ||||||||||||||||
Swap Contracts | — | — | — | — | ||||||||||||
Total Investments in Securities and Other Financial Instruments | $ | 320,617,511 | $ | — | $ | 263,195 | $ | 320,880,706 | ||||||||
Liability Valuation Inputs | ||||||||||||||||
Other Financial Instruments:(j) | ||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | — | $ | — |
(h) | For a complete listing of investments and their industries, see the Schedule of Investments. |
(i) | The Level 3 securities, valued in total at $263,195, have been fair valued in good faith in accordance with procedures established by the Board of Trustees. |
(j) | Reflects the unrealized appreciation (depreciation) of the instruments. |
A reconciliation of assets in which Level 3 inputs are used in determining fair value is presented when there are significant Level 3 financial instruments at the beginning and/or end of the period.