Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
Long-Term Bonds — 97.7% | ||||||||
Collateralized Mortgage Obligations — 16.5% | ||||||||
Mortgage Securities — 16.5% | ||||||||
Agate Bay Mortgage Trust | ||||||||
Series 2015-5 B3, 3.577%, due 7/25/45(a)(b) | $ | 36,157 | $ | 29,918 | ||||
Alternative Loan Trust | ||||||||
Series 2005-IM1 A1, 6.064%, (TSFR1M + 0.71%), due 1/25/36(b) | 142,476 | 129,889 | ||||||
Banc of America Alternative Loan Trust | ||||||||
Series 2005-11 1CB5, 5.500%, due 12/25/35 | 43,915 | 38,399 | ||||||
Banc of America Funding Trust | ||||||||
Series 2006-I 6A1, 5.840%, (TSFR1M + 0.49%), due 12/20/46(b) | 38,928 | 31,546 | ||||||
Banc of America Mortgage Trust | ||||||||
Series 2005-A 2A3, 4.980%, due 2/25/35(a)(b) | 19,291 | 18,493 | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2007-4A A1, 6.139%, (TSFR1M + 0.79%), due 9/25/37(b) | 81,386 | 77,101 | ||||||
Chase Mortgage Finance Trust | ||||||||
Series 2005-S3 A14, 5.500%, due 11/25/35 | 51,332 | 37,219 | ||||||
Chevy Chase Funding LLC Mortgage-Backed Certificates | ||||||||
Series 2005-AA A2, 5.714%, (TSFR1M + 0.36%), due 1/25/36(b) | 27,184 | 24,935 | ||||||
CHL Mortgage Pass-Through Trust | ||||||||
Series 2005-9 1A1, 6.064%, (TSFR1M + 0.71%), due 5/25/35(b) | 78,568 | 65,499 | ||||||
CIM Trust | ||||||||
Series 2021-J2 AIOS, 0.210%, due 4/25/51(a)(b)(c) | 1,632,425 | 19,276 | ||||||
Series 2021-J3 A31, 2.500%, due 6/25/51(a)(b) | 121,575 | 98,036 | ||||||
Connecticut Avenue Securities Trust | ||||||||
Series 2020-R01 1B1, 8.712%, (SOFR30A + 3.36%), due 1/25/40(b) | 300,000 | 311,570 | ||||||
Series 2020-R02 2B1, 8.462%, (SOFR30A + 3.11%), due 1/25/40(b) | 915,000 | 941,732 | ||||||
Series 2020-SBT1 1B1, 12.212%, (SOFR30A + 6.86%), due 2/25/40(b) | 400,000 | 435,747 | ||||||
Series 2020-SBT1 1M2, 9.112%, (SOFR30A + 3.76%), due 2/25/40(b) | 205,000 | 217,544 | ||||||
Series 2020-SBT1 2B1, 12.062%, (SOFR30A + 6.71%), due 2/25/40(b) | 490,000 | 530,757 | ||||||
Series 2020-SBT1 2M2, 9.112%, (SOFR30A + 3.76%), due 2/25/40(b) | 620,000 | 658,712 | ||||||
Series 2021-R01 1B2, 11.347%, (SOFR30A + 6.00%), due 10/25/41(b) | 70,000 | 73,937 | ||||||
Series 2022-R03 1B2, 15.197%, (SOFR30A + 9.85%), due 3/25/42(b) | 550,000 | 627,803 | ||||||
Series 2022-R04 1B2, 14.847%, (SOFR30A + 9.50%), due 3/25/42(b) | 45,000 | 51,286 | ||||||
Series 2022-R08 1B1, 10.947%, (SOFR30A + 5.60%), due 7/25/42(b) | 95,000 | 104,204 | ||||||
Series 2024-R02 1B1, 7.847%, (SOFR30A + 2.50%), due 2/25/44(b) | 65,000 | 66,415 | ||||||
CSMC | ||||||||
Series 2021-NQM2 A1, 1.179%, due 2/25/66(a)(b) | 146,400 | 128,177 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2021-NQM4 A2, 1.409%, due 5/25/66(a)(b) | $ | 90,468 | $ | 77,424 | ||||
CSMC Trust | ||||||||
Series 2021-NQM5 A1, 0.938%, due 5/25/66(a)(b) | 231,633 | 189,919 | ||||||
Fannie Mae REMICS | ||||||||
Series 2020-23 PS, 0.588%, (SOFR30A + 5.94%), due 2/25/50(b)(c) | 75,230 | 9,065 | ||||||
Series 2021-81 SA, (SOFR30A + 2.60%), due 12/25/51(b)(c) | 353,942 | 3,874 | ||||||
Series 2021-85 BI, 3.000%, due 12/25/51(c) | 112,546 | 18,910 | ||||||
Series 2021-91 HI, 3.000%, due 1/25/52(c) | 114,079 | 13,856 | ||||||
Flagstar Mortgage Trust | ||||||||
Series 2021-6INV A18, 2.500%, due 8/25/51(a)(b) | 153,412 | 123,417 | ||||||
Series 2021-9INV A7, 2.500%, due 9/25/41(a)(b) | 1,205,653 | 1,061,359 | ||||||
Freddie Mac REMICS | ||||||||
Series 2021-5152 BI, 3.000%, due 7/25/50(c) | 94,130 | 16,008 | ||||||
Series 2022-5205 KI, 3.000%, due 12/25/48(c) | 71,113 | 8,087 | ||||||
Galton Funding Mortgage Trust | ||||||||
Series 2018-2 A51, 4.500%, due 10/25/58(a)(b) | 40,306 | 38,418 | ||||||
Government National Mortgage Association | ||||||||
Series 2020-149 IQ, 2.500%, due 10/20/50(c) | 150,015 | 20,106 | ||||||
Series 2020-166 IC, 2.000%, due 11/20/50(c) | 68,029 | 6,698 | ||||||
Series 2020-183 HT, 0.426%, (SOFR30A + 5.77%), due 12/20/50(b)(c) | 129,693 | 14,687 | ||||||
Series 2020-188 GI, 2.000%, due 12/20/50(c) | 358,676 | 37,860 | ||||||
Series 2020-188 IO, 2.000%, due 12/20/50(c) | 99,860 | 11,020 | ||||||
Series 2020-189 NS, 0.840%, (TSFR1M + 6.19%), due 12/20/50(b)(c) | 136,013 | 20,579 | ||||||
Series 2020-96 CS, 0.640%, (TSFR1M + 5.99%), due 8/20/49(b)(c) | 253,791 | 29,866 | ||||||
Series 2021-177 IM, 3.000%, due 10/20/51(c) | 105,101 | 16,115 | ||||||
Series 2021-213 ES, (SOFR30A + 1.70%), due 12/20/51(b)(c) | 404,704 | 1,196 | ||||||
Series 2021-30 HI, 2.000%, due 2/20/51(c) | 210,425 | 21,070 | ||||||
Series 2021-44 IQ, 3.000%, due 3/20/51(c) | 677,952 | 107,132 | ||||||
Series 2021-50 KI, 2.500%, due 1/20/48(c) | 197,090 | 18,320 | ||||||
Series 2021-56 FE, 2.500%, (SOFR30A + 0.20%), due 10/20/50(b)(c) | 136,017 | 15,689 | ||||||
Series 2021-96 NS, 0.840%, (TSFR1M + 6.19%), due 6/20/51(b)(c) | 142,958 | 19,660 | ||||||
Series 2021-96 SN, 0.840%, (TSFR1M + 6.19%), due 6/20/51(b)(c) | 171,773 | 21,690 | ||||||
Series 2021-97 SD, (SOFR30A + 2.60%), due 6/20/51(b)(c) | 394,432 | 3,897 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2022-182 IO, 3.000%, due 10/20/45(c) | $ | 339,867 | $ | 48,002 | ||||
Series 2022-190 HS, 0.590%, (TSFR1M + 5.94%), due 2/20/50(b)(c) | 353,801 | 42,327 | ||||||
Series 2022-207 IO, 3.000%, due 8/20/51(c) | 85,063 | 13,626 | ||||||
GreenPoint Mortgage Funding Trust | ||||||||
Series 2007-AR3 A1, 5.904%, (TSFR1M + 0.55%), due 6/25/37(b) | 77,305 | 67,888 | ||||||
GS Mortage-Backed Securities Trust | ||||||||
Series 2020-PJ1 A1, 3.500%, due 5/25/50(a)(b) | 348,649 | 311,274 | ||||||
GS Mortgage-Backed Securities Corp. Trust | ||||||||
Series 2022-PJ4 A4, 2.500%, due 9/25/52(a)(b) | 1,722,687 | 1,401,028 | ||||||
HarborView Mortgage Loan Trust | ||||||||
Series 2005-2 2A1A, 5.896%, (TSFR1M + 0.55%), due 5/19/35(b) | 71,963 | 67,723 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
Series 2005-AR12 2A1A, 5.944%, (TSFR1M + 0.59%), due 7/25/35(b) | 76,465 | 69,651 | ||||||
J.P. Morgan Mortgage Trust | ||||||||
Series 2019-8 A11, 6.314%, (TSFR1M + 0.96%), due 3/25/50(b) | 13,298 | 12,591 | ||||||
Series 2021-11 A3, 2.500%, due 1/25/52(a)(b) | 1,496,146 | 1,219,629 | ||||||
Series 2021-12 A3, 2.500%, due 2/25/52(a)(b) | 2,732,775 | 2,227,706 | ||||||
Series 2022-1 A3, 2.500%, due 7/25/52(a)(b) | 812,792 | 663,060 | ||||||
Mello Mortgage Capital Acceptance | ||||||||
Series 2021-MTG1 A19, 2.500%, due 4/25/51(a)(b) | 113,550 | 91,709 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
Series 2004-F B1, 6.297%, due 12/25/29(a)(b) | 77,482 | 67,391 | ||||||
Multifamily Connecticut Avenue Securities Trust | ||||||||
Series 2019-01 B10, 10.962%, (SOFR30A + 5.61%), due 10/25/49(b) | 435,000 | 432,168 | ||||||
Series 2023-01 M10, 11.847%, (SOFR30A + 6.50%), due 11/25/53(b) | 560,000 | 624,259 | ||||||
Series 2024-01 B1, 12.097%, (SOFR30A + 6.75%), due 7/25/54(b) | 400,000 | 399,993 | ||||||
OBX Trust | ||||||||
Series 2019-INV2 A5, 4.000%, due 5/27/49(a)(b) | 39,311 | 36,285 | ||||||
Series 2022-J1 A14, 2.500%, due 2/25/52(a)(b) | 88,921 | 71,508 | ||||||
Provident Funding Mortgage Trust | ||||||||
Series 2021-INV1 B2, 2.781%, due 8/25/51(a)(b) | 622,733 | 506,178 | ||||||
RALI Trust | ||||||||
Series 2005-QO3 A1, 6.264%, (TSFR1M + 0.91%), due 10/25/45(b) | 93,615 | 75,307 | ||||||
Series 2007-QO3 A1, 5.784%, (TSFR1M + 0.43%), due 3/25/47(b) | 88,211 | 78,646 | ||||||
RCKT Mortgage Trust | ||||||||
Series 2021-5 A1, 2.500%, due 11/25/51(a)(b) | 3,138,415 | 2,561,828 |
Principal Amount | Value | |||||||
Collateralized Mortgage Obligations (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Sequoia Mortgage Trust | ||||||||
Series 2004-3 A, 6.228%, (TSFR6M + 0.93%), due 5/20/34(b) | $ | 4,759 | $ | 4,774 | ||||
Series 2018-7 B3, 4.253%, due 9/25/48(a)(b) | 150,874 | 135,849 | ||||||
Series 2021-4 AIO1, 0.166%, due 6/25/51(a)(b)(c) | 5,191,742 | 48,638 | ||||||
Shellpoint Co.-Originator Trust | ||||||||
Series 2015-1 B3, 3.775%, due 8/25/45(a)(b) | 51,483 | 47,307 | ||||||
STACR Trust | ||||||||
Series 2018-HRP1 B2, 17.212%, (SOFR30A + 11.86%), due 5/25/43(b) | 574,016 | 699,458 | ||||||
Series 2018-HRP2 B2, 15.962%, (SOFR30A + 10.61%), due 2/25/47(b) | 555,000 | 688,480 | ||||||
Thornburg Mortgage Securities Trust | ||||||||
Series 2004-3 A, 6.204%, (TSFR1M + 0.85%), due 9/25/34(b) | 92,723 | 84,600 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2019-1 B2, 3.789%, due 3/25/58(a)(b) | 815,000 | 629,868 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR16 Trust | ||||||||
Series 2005-AR16 1A1, 4.806%, due 12/25/35(a)(b) | 72,010 | 64,554 | ||||||
WaMu Mortgage Pass-Through Certificates Series 2005-AR6 Trust | ||||||||
Series 2005-AR6 2A1A, 5.924%, (TSFR1M + 0.57%), due 4/25/45(b) | 65,098 | 64,108 | ||||||
WaMu Mortgage Pass-Through Certificates Trust | ||||||||
Series 2002-AR17 1A, 6.373%, (12-month Treasury Average + 1.20%), due 11/25/42(b) | 23,978 | 22,428 | ||||||
Series 2004-AR12 A2B, 6.384%, (TSFR1M + 1.03%), due 10/25/44(b) | 61,637 | 58,692 | ||||||
Series 2004-AR8 A1, 6.304%, (TSFR1M + 0.95%), due 6/25/44(b) | 96,668 | 89,801 | ||||||
Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-8 Trust | ||||||||
Series 2005-8 2CB3, 5.500%, (TSFR1M + 0.52%), due 10/25/35(b) | 35,736 | 32,933 | ||||||
20,405,384 | ||||||||
Total Collateralized Mortgage Obligations | ||||||||
(Cost $20,185,057) | 20,405,384 | |||||||
Commercial Asset-Backed Securities — 11.6% | ||||||||
Asset Backed Securities — 11.6% | ||||||||
American Credit Acceptance Receivables Trust | ||||||||
Series 2022-1 D, 2.460%, due 3/13/28 | 90,000 | 88,641 | ||||||
AmeriCredit Automobile Receivables Trust | ||||||||
Series 2021-1 C, 0.890%, due 10/19/26 | 43,299 | 42,419 | ||||||
Bayview Opportunity Master Fund VII LLC | ||||||||
Series 2024-EDU1 D, 8.097%, (SOFR30A + 2.75%), due 6/25/47(b) | 70,038 | 70,789 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
Commercial Asset-Backed Securities (continued) | ||||||||
Asset Backed Securities (continued) | ||||||||
Bridgecrest Lending Auto Securitization Trust | ||||||||
Series 2023-1 D, 7.840%, due 8/15/29 | $ | 1,260,000 | $ | 1,332,768 | ||||
Series 2024-1 C, 5.650%, due 4/16/29 | 250,000 | 251,747 | ||||||
Series 2024-1 D, 6.030%, due 11/15/29 | 480,000 | 485,284 | ||||||
Carmax Auto Owner Trust | ||||||||
Series 2024-3 C, 5.280%, due 3/15/30 | 485,000 | 486,055 | ||||||
CarMax Auto Owner Trust | ||||||||
Series 2024-1 C, 5.470%, due 8/15/29 | 80,000 | 80,663 | ||||||
CF Hippolyta Issuer LLC | ||||||||
Series 2020-1 A2, 1.990%, due 7/15/60 | 397,120 | 350,426 | ||||||
Series 2020-1 B1, 2.280%, due 7/15/60 | 422,742 | 398,253 | ||||||
Series 2021-1A B1, 1.980%, due 3/15/61 | 438,238 | 395,806 | ||||||
Drive Auto Receivables Trust | ||||||||
Series 2024-1 C, 5.430%, due 11/17/31 | 75,000 | 75,269 | ||||||
DT Auto Owner Trust | ||||||||
Series 2021-2A E, 2.970%, due 7/17/28 | 1,300,000 | 1,256,574 | ||||||
Series 2021-4A D, 1.990%, due 9/15/27 | 450,000 | 426,482 | ||||||
Exeter Automobile Receivables | ||||||||
Series 2022-1A E, 5.020%, due 10/15/29 | 135,000 | 129,250 | ||||||
Exeter Automobile Receivables Trust | ||||||||
Series 2022-2A E, 6.340%, due 10/15/29 | 300,000 | 295,573 | ||||||
Series 2022-5A E, 10.450%, due 4/15/30 | 500,000 | 531,404 | ||||||
Series 2023-2A D, 6.320%, due 8/15/29 | 75,000 | 76,101 | ||||||
Flagship Credit Auto Trust | ||||||||
Series 2020-1 D, 2.480%, due 3/16/26 | 57,209 | 56,493 | ||||||
Series 2020-3 D, 2.500%, due 9/15/26 | 80,000 | 77,743 | ||||||
Series 2021-2 C, 1.270%, due 6/15/27 | 100,000 | 97,553 | ||||||
Series 2021-2 D, 1.590%, due 6/15/27 | 100,000 | 93,378 | ||||||
Series 2021-3 D, 1.650%, due 9/15/27 | 514,000 | 477,783 | ||||||
Series 2021-4 C, 1.960%, due 12/15/27 | 40,000 | 38,173 | ||||||
Series 2021-4 D, 2.260%, due 12/15/27 | 100,000 | 93,387 | ||||||
Series 2022-1 D, 3.640%, due 3/15/28 | 335,000 | 318,841 | ||||||
Series 2022-2 D, 5.800%, due 4/17/28 | 530,000 | 496,778 | ||||||
Series 2024-1 C, 5.790%, due 2/15/30 | 345,000 | 351,429 | ||||||
Series 2024-1 D, 6.300%, due 4/15/30 | 900,000 | 921,918 | ||||||
FORA Financial Asset Securitization LLC | ||||||||
Series 2021-1A A, 2.620%, due 5/15/27 | 100,000 | 97,684 | ||||||
Ford Credit Auto Owner Trust | ||||||||
Series 2021-2 C, 2.110%, due 5/15/34 | 100,000 | 93,102 | ||||||
Series 2023-2 B, 5.920%, due 2/15/36 | 100,000 | 103,316 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
Series 2021-2A E, 2.870%, due 5/15/28 | 335,000 | 317,374 | ||||||
Series 2021-3A D, 1.480%, due 7/15/27 | 125,000 | 119,360 | ||||||
Series 2021-4A D, 2.480%, due 10/15/27 | 100,000 | 95,627 | ||||||
Series 2024-2A D, 6.190%, due 2/15/30 | 700,000 | 715,025 | ||||||
GM Financial Revolving Receivables Trust | ||||||||
Series 2021-1 A, 1.170%, due 6/12/34 | 70,000 | 64,905 | ||||||
Series 2023-1 B, 5.560%, due 4/11/35 | 55,000 | 56,002 | ||||||
GMF Floorplan Owner Revolving Trust | ||||||||
Series 2023-2 A, 5.340%, due 6/15/30 | 100,000 | 102,307 | ||||||
Hertz Vehicle Financing LLC | ||||||||
Series 2021-1A C, 2.050%, due 12/26/25 | 83,333 | 82,363 | ||||||
Hilton Grand Vacations Trust | ||||||||
Series 2019-AA B, 2.540%, due 7/25/33 | 38,626 | 37,240 |
Principal Amount | Value | |||||||
Commercial Asset-Backed Securities (continued) | ||||||||
Asset Backed Securities (continued) | ||||||||
Huntington Bank Auto Credit-Linked Notes | ||||||||
Series 2024-1 D, 10.594%, (SOFR30A + 5.25%), due 5/20/32(b) | $ | 558,003 | $ | 560,904 | ||||
Hyundai Auto Receivables Trust | ||||||||
Series 2024-B C, 5.290%, due 10/15/31 | 210,000 | 211,603 | ||||||
LAD Auto Receivables Trust | ||||||||
Series 2024-1A D, 6.150%, due 6/16/31 | 100,000 | 101,921 | ||||||
Series 2024-2A D, 6.370%, due 10/15/31 | 430,000 | 437,663 | ||||||
Long Beach Mortgage Loan Trust | ||||||||
Series 2004-3 M1, 6.319%, (TSFR1M + 0.97%), due 7/25/34(b) | 113,974 | 109,548 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
Series 2021-A A, 0.840%, due 5/15/69 | 32,986 | 29,506 | ||||||
Series 2021-BA A, 0.940%, due 7/15/69 | 66,738 | 58,914 | ||||||
New Economy Assets Phase 1 Sponsor LLC | ||||||||
Series 2021-1 B1, 2.410%, due 10/20/61 | 100,000 | 87,445 | ||||||
Stifel SBA IO Trust | ||||||||
Series 2024-1A A2, 1.268%, due 6/25/50(a)(b)(c) | 4,593,330 | 182,635 | ||||||
Structured Asset Investment Loan Trust | ||||||||
Series 2004-8 A6, 6.264%, (TSFR1M + 0.91%), due 9/25/34(b) | 110,193 | 106,595 | ||||||
Subway Funding LLC | ||||||||
Series 2024-1A A23, 6.505%, due 7/30/54 | 500,000 | 519,571 | ||||||
Toyota Auto Loan Extended Note Trust | ||||||||
Series 2023-1A A, 4.930%, due 6/25/36 | 100,000 | 101,235 | ||||||
Wendy’s Funding LLC | ||||||||
Series 2021-1A A2II, 2.775%, due 6/15/51 | 97,000 | 82,841 | ||||||
Westlake Automobile Receivables Trust | ||||||||
Series 2024-1A C, 5.650%, due 2/15/29 | 100,000 | 100,494 | ||||||
14,372,160 | ||||||||
Total Commercial Asset-Backed Securities | ||||||||
(Cost $14,232,313) | 14,372,160 | |||||||
Commercial Mortgage-Backed Securities — 19.3% | ||||||||
Mortgage Securities — 19.3% | ||||||||
Ashford Hospitality Trust | ||||||||
Series 2018-KEYS C, 7.476%, (TSFR1M + 2.15%), due 6/15/35(b) | 100,000 | 98,173 | ||||||
Bank | ||||||||
Series 2019-BN19 B, 3.647%, due 8/15/61 | 80,000 | 66,256 | ||||||
Series 2019-BN19 C, 4.028%, due 8/15/61(a)(b) | 635,000 | 496,958 | ||||||
BANK | ||||||||
Series 2017-BNK4 C, 4.372%, due 5/15/50(a)(b) | 90,000 | 76,923 | ||||||
Series 2019-BN20 C, 3.653%, due 9/15/62(a)(b) | 100,000 | 76,612 | ||||||
Series 2020-BN25 D, 2.500%, due 1/15/63 | 395,000 | 273,717 | ||||||
Series 2022-BNK39 AS, 3.181%, due 2/15/55 | 705,000 | 609,161 | ||||||
Series 2023-BNK46 A4, 5.745%, due 8/15/56 | 125,000 | 130,989 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Bayview Commercial Asset Trust | ||||||||
Series 2005-3A A1, 5.944%, (TSFR1M + 0.59%), due 11/25/35(b) | $ | 32,909 | $ | 31,736 | ||||
Series 2007-1 A1, 5.794%, (TSFR1M + 0.44%), due 3/25/37(b) | 50,284 | 47,796 | ||||||
Series 2007-2A M1, 6.019%, (TSFR1M + 0.67%), due 7/25/37(b) | 56,185 | 51,128 | ||||||
BBCMS Mortgage Trust | ||||||||
Series 2018-TALL A, 6.248%, (TSFR1M + 0.92%), due 3/15/37(b) | 640,000 | 601,600 | ||||||
Series 2018-TALL C, 6.647%, (TSFR1M + 1.32%), due 3/15/37(b) | 500,000 | 450,639 | ||||||
Series 2018-TALL D, 6.975%, (TSFR1M + 1.65%), due 3/15/37(b) | 135,000 | 115,336 | ||||||
Series 2022-C16 D, 2.500%, due 6/15/55(a)(b) | 815,000 | 485,758 | ||||||
Series 2024-C24 AS, 5.867%, due 2/15/57 | 70,000 | 72,963 | ||||||
Benchmark Mortgage Trust | ||||||||
Series 2018-B1 C, 4.178%, due 1/15/51(a)(b) | 430,000 | 354,175 | ||||||
Series 2018-B6 D, 3.090%, due 10/10/51(a)(b) | 605,000 | 438,504 | ||||||
Series 2019-B14 C, 3.772%, due 12/15/62(a)(b) | 715,000 | 536,722 | ||||||
Series 2019-B15 C, 3.720%, due 12/15/72(a)(b) | 70,000 | 53,737 | ||||||
Series 2020-B17 C, 3.371%, due 3/15/53(a)(b) | 700,000 | 510,754 | ||||||
BX Commercial Mortgage Trust | ||||||||
Series 2020-VIV2 C, 3.542%, due 3/9/44(a)(b) | 190,000 | 168,829 | ||||||
Series 2020-VIVA D, 3.549%, due 3/11/44(a)(b) | 100,000 | 87,592 | ||||||
Series 2021-VOLT C, 6.543%, (TSFR1M + 1.21%), due 9/15/36(b) | 450,000 | 440,437 | ||||||
Series 2022-CSMO D, 9.666%, (TSFR1M + 4.34%), due 6/15/27(b) | 100,000 | 100,313 | ||||||
BX Trust | ||||||||
Series 2019-OC11 B, 3.605%, due 12/9/41 | 40,000 | 36,286 | ||||||
Series 2019-OC11 D, 3.944%, due 12/9/41(a)(b) | 500,000 | 448,443 | ||||||
Series 2019-OC11 E, 3.944%, due 12/9/41(a)(b) | 65,000 | 56,435 | ||||||
Series 2021-ARIA E, 7.688%, (TSFR1M + 2.36%), due 10/15/36(b) | 500,000 | 489,687 | ||||||
Series 2021-RISE C, 6.893%, (TSFR1M + 1.56%), due 11/15/36(b) | 91,703 | 89,640 | ||||||
Series 2021-SDMF F, 7.380%, (TSFR1M + 2.05%), due 9/15/34(b) | 517,996 | 494,867 | ||||||
Series 2024-BIO C, 7.969%, (TSFR1M + 2.64%), due 2/15/41(b) | 575,000 | 572,483 | ||||||
BXHPP Trust | ||||||||
Series 2021-FILM A, 6.093%, (TSFR1M + 0.76%), due 8/15/36(b) | 100,000 | 96,097 | ||||||
BXSC Commercial Mortgage Trust | ||||||||
Series 2022-WSS D, 8.517%, (TSFR1M + 3.19%), due 3/15/35(b) | 200,000 | 198,501 |
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
CD Mortgage Trust | ||||||||
Series 2017-CD4 C, 4.350%, due 5/10/50(a)(b) | $ | 495,000 | $ | 444,827 | ||||
Series 2017-CD4 D, 3.300%, due 5/10/50 | 90,000 | 73,072 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
Series 2016-C7 C, 4.365%, due 12/10/54(a)(b) | 75,000 | 66,325 | ||||||
Citigroup Commercial Mortgage Trust | ||||||||
Series 2015-GC35 AS, 4.072%, due 11/10/48(a)(b) | 355,000 | 329,422 | ||||||
Series 2018-B2 D, 3.152%, due 3/10/51(a)(b) | 770,000 | 530,638 | ||||||
COMM Mortgage Trust | ||||||||
Series 2012-CR4 AM, 3.251%, due 10/15/45 | 300,000 | 264,000 | ||||||
Series 2012-LC4 C, 5.303%, due 12/10/44(a)(b) | 500,000 | 441,449 | ||||||
Series 2014-CR15 D, 3.977%, due 2/10/47(a)(b) | 262,000 | 235,801 | ||||||
Series 2014-CR20 AM, 3.938%, due 11/10/47 | 390,000 | 382,048 | ||||||
Series 2014-UBS4 A5, 3.694%, due 8/10/47 | 31,954 | 31,883 | ||||||
Series 2015-CR22 C, 4.065%, due 3/10/48(a)(b) | 520,000 | 473,841 | ||||||
Series 2016-DC2 C, 4.656%, due 2/10/49(a)(b) | 70,000 | 66,758 | ||||||
CONE Trust | ||||||||
Series 2024-DFW1 E, 9.188%, (TSFR1M + 3.89%), due 8/15/26(b) | 500,000 | 499,060 | ||||||
CSAIL Commercial Mortgage Trust | ||||||||
Series 2015-C1 C, 4.239%, due 4/15/50(a)(b) | 75,000 | 68,056 | ||||||
Series 2016-C6 D, 4.918%, due 1/15/49(a)(b) | 100,000 | 75,236 | ||||||
Series 2018-C14 C, 4.878%, due 11/15/51(a)(b) | 330,000 | 281,637 | ||||||
CSMC Trust | ||||||||
Series 2020-WEST A, 3.040%, due 2/15/35 | 160,000 | 125,339 | ||||||
DBJPM Mortgage Trust | ||||||||
Series 2016-C1 C, 3.318%, due 5/10/49(a)(b) | 60,000 | 53,423 | ||||||
DROP Mortgage Trust | ||||||||
Series 2021-FILE A, 6.593%, (TSFR1M + 1.26%), due 10/15/43(b) | 100,000 | 95,250 | ||||||
ELM Trust | ||||||||
Series 2024-ELM D10, 6.626%, due 6/10/39(a)(b) | 135,000 | 136,532 | ||||||
Freddie Mac Mscr Trust | ||||||||
Series 2024-MN8 M2, 9.597%, (SOFR30A + 4.25%), due 5/25/44(b) | 430,000 | 443,720 | ||||||
HILT COMMERCIAL MORTGAGE TRUST | ||||||||
Series 2024-ORL D, 8.518%, (TSFR1M + 3.19%), due 5/15/37(b) | 100,000 | 99,625 | ||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust | ||||||||
Series 2016-JP3 B, 3.397%, due 8/15/49(a)(b) | 60,000 | 52,303 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2016-JP3 C, 3.422%, due 8/15/49(a)(b) | $ | 530,000 | $ | 436,265 | ||||
Series 2021-2NU A, 1.974%, due 1/5/40 | 100,000 | 85,412 | ||||||
JPMCC Commercial Mortgage Securities Trust | ||||||||
Series 2019-COR4 AS, 4.290%, due 3/10/52 | 115,000 | 103,438 | ||||||
JPMDB Commercial Mortgage Securities Trust | ||||||||
Series 2017-C5 B, 4.009%, due 3/15/50(a)(b) | 615,000 | 510,279 | ||||||
Series 2017-C7 D, 3.000%, SOFR, due 10/15/50 | 100,000 | 75,688 | ||||||
Series 2019-COR6 A4, 3.057%, due 11/13/52 | 355,000 | 305,089 | ||||||
Life Mortgage Trust | ||||||||
Series 2022-BMR2 D, 7.871%, (TSFR1M + 2.54%), due 5/15/39(b) | 405,000 | 377,871 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
Series 2015-C22 AS, 3.561%, due 4/15/48 | 110,000 | 106,799 | ||||||
Morgan Stanley Capital I Trust | ||||||||
Series 2014-150E A, 3.912%, due 9/9/32 | 300,000 | 260,280 | ||||||
Series 2016-UBS9 C, 4.593%, due 3/15/49(a)(b) | 500,000 | 422,937 | ||||||
Series 2018-H3 D, 3.000%, due 7/15/51 | 135,000 | 108,722 | ||||||
Series 2019-MEAD A, 3.170%, due 11/10/36 | 65,000 | 62,666 | ||||||
Series 2022-L8 AS, 3.793%, due 4/15/55(a)(b) | 100,000 | 89,579 | ||||||
MSWF Commercial Mortgage Trust | ||||||||
Series 2023-2 A5, 6.014%, due 12/15/56(a)(b) | 785,000 | 842,937 | ||||||
Series 2023-2 AS, 6.491%, due 12/15/56(a)(b) | 75,000 | 80,654 | ||||||
Multifamily Connecticut Avenue Securities Trust | ||||||||
Series 2020-01 CE, 12.962%, (SOFR30A + 7.61%), due 3/25/50(b) | 115,000 | 114,305 | ||||||
Series 2020-01 M10, 9.212%, (SOFR30A + 3.86%), due 3/25/50(b) | 48,890 | 49,147 | ||||||
Natixis Commercial Mortgage Securities Trust | ||||||||
Series 2021-APPL A, 6.393%, (TSFR1M + 1.06%), due 8/15/38(b) | 100,000 | 94,429 | ||||||
ORL Trust | ||||||||
Series 2023-GLKS D, 9.630%, (TSFR1M + 4.30%), due 10/19/36(b) | 100,000 | 100,187 | ||||||
SLG Office Trust | ||||||||
Series 2021-OVA A, 2.585%, due 7/15/41 | 660,000 | 551,716 | ||||||
SREIT Trust | ||||||||
Series 2021-MFP G, 8.417%, (TSFR1M + 3.09%), due 11/15/38(b) | 526,275 | 520,781 | ||||||
UBS Commercial Mortgage Trust | ||||||||
Series 2018-C9 C, 4.947%, due 3/15/51(a)(b) | 280,000 | 209,880 | ||||||
Series 2019-C16 D, 5.013%, due 4/15/52(a)(b) | 225,000 | 184,777 |
Principal Amount | Value | |||||||
Commercial Mortgage-Backed Securities (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
Series 2013-C5 B, 3.649%, due 3/10/46(a)(b) | $ | 490,061 | $ | 453,637 | ||||
Wells Fargo Commercial Mortgage Trust | ||||||||
Series 2015-P2 D, 3.241%, due 12/15/48 | 100,000 | 88,751 | ||||||
Series 2016-NXS6 D, 3.059%, due 11/15/49 | 360,000 | 307,705 | ||||||
Series 2017-C38 C, 3.903%, due 7/15/50(a)(b) | 70,000 | 62,746 | ||||||
Series 2017-C40 D, 2.700%, due 10/15/50 | 670,000 | 531,878 | ||||||
Series 2018-C44 D, 3.000%, due 5/15/51 | 710,000 | 516,889 | ||||||
Series 2019-C50 C, 4.345%, due 5/15/52 | 75,000 | 65,969 | ||||||
Series 2019-C50 D, 3.000%, due 5/15/52 | 405,000 | 299,317 | ||||||
Series 2019-C51 AS, 3.584%, due 6/15/52 | 116,000 | 105,191 | ||||||
Series 2019-C51 C, 4.289%, due 6/15/52(a)(b) | 445,000 | 375,072 | ||||||
Series 2024-1CHI E, 7.574%, due 7/15/35(a)(b) | 425,000 | 422,838 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
Series 2013-C11 D, 4.062%, due 3/15/45(a)(b) | 130,000 | 108,826 | ||||||
Series 2013-C13 D, 4.008%, due 5/15/45(a)(b) | 691,792 | 615,003 | ||||||
23,777,152 | ||||||||
Total Commercial Mortgage-Backed Securities | ||||||||
(Cost $23,586,722) | 23,777,152 | |||||||
U.S. Government & Federal Agencies — 50.3% | ||||||||
Mortgage Securities — 50.3% | ||||||||
Fannie Mae Interest Strip | ||||||||
Series 2022-426 C32, 1.500%, due 2/25/52(c) | 187,433 | 17,995 | ||||||
Fannie Mae Pool | ||||||||
Series 2018-BK4772, 4.000%, due 8/1/48 | 25,656 | 24,391 | ||||||
Series 2018-BN0340, 4.500%, due 12/1/48 | 14,022 | 13,701 | ||||||
Series 2018-CA2056, 4.500%, due 7/1/48 | 60,364 | 59,097 | ||||||
Series 2018-CA2960, 4.500%, due 1/1/49 | 31,842 | 31,061 | ||||||
Series 2020-FM3129, 3.000%, due 5/1/50 | 96,420 | 85,592 | ||||||
Series 2020-FM3889, 3.000%, due 7/1/50 | 30,750 | 27,296 | ||||||
Series 2020-FM5299, 3.500%, due 11/1/50 | 24,473 | 22,259 | ||||||
Series 2021-FM7418, 2.500%, due 6/1/51 | 145,966 | 125,058 | ||||||
Series 2021-FM7685, 3.000%, due 6/1/51 | 109,558 | 96,292 | ||||||
Series 2022-BU1417, 3.000%, due 1/1/52 | 108,285 | 94,723 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2022-MA4624, 3.000%, due 6/1/52 | $ | 4,499,187 | $ | 3,925,555 | ||||
Series 2022-MA4626, 4.000%, due 6/1/52 | 806,367 | 756,221 | ||||||
Series 2022-MA4806, 5.000%, due 11/1/52 | 465,725 | 459,670 | ||||||
Series 2023-FS3603, 5.500%, due 8/1/53 | 50,959 | 51,256 | ||||||
Series 2023-FS3904, 5.000%, due 3/1/53 | 24,247 | 23,899 | ||||||
Series 2023-FS5641, 6.000%, due 8/1/53 | 119,839 | 122,073 | ||||||
Series 2023-FS5758, 6.000%, due 9/1/53 | 61,376 | 62,570 | ||||||
Series 2023-FS6211, 6.000%, due 11/1/53 | 137,730 | 140,666 | ||||||
Series 2023-MA4919, 5.500%, due 2/1/53 | 216,433 | 216,860 | ||||||
Series 2023-MA4940, 5.000%, due 3/1/53 | 1,683,104 | 1,658,571 | ||||||
Series 2023-MA5009, 5.000%, due 5/1/53 | 2,680,835 | 2,640,606 | ||||||
Series 2023-MA5020, 5.000%, due 5/1/43 | 861,481 | 862,034 | ||||||
Series 2023-MA5139, 6.000%, due 9/1/53 | 2,147,396 | 2,177,658 | ||||||
Series 2023-MA5140, 6.500%, due 9/1/53 | 250,993 | 257,342 | ||||||
Series 2024-FS7587, 5.500%, due 4/1/54 | 79,576 | 79,855 | ||||||
Series 2024-FS8105, 2.000%, due 10/1/52 | 4,163,211 | 3,352,879 | ||||||
Fannie Mae REMICS | ||||||||
Series 2016-19 SD, 0.638%, (SOFR30A + 5.99%), due 4/25/46(b)(c) | 149,796 | 11,313 | ||||||
Series 2016-57 SN, 0.588%, (SOFR30A + 5.94%), due 6/25/46(b)(c) | 69,327 | 7,442 | ||||||
Series 2019-32 SB, 0.588%, (SOFR30A + 5.94%), due 6/25/49(b)(c) | 60,305 | 6,144 | ||||||
Series 2019-77 LZ, 3.000%, due 1/25/50 | 198,649 | 175,219 | ||||||
Series 2020-10 DA, 3.500%, due 3/25/60 | 79,373 | 69,908 | ||||||
Series 2020-10 LP, 3.500%, due 3/25/50 | 36,583 | 32,301 | ||||||
Series 2020-63 B, 1.250%, due 9/25/50 | 9,812 | 7,475 | ||||||
Series 2021-12 GC, 3.500%, due 7/25/50 | 87,452 | 79,464 | ||||||
Series 2021-3 TI, 2.500%, due 2/25/51(c) | 1,152,995 | 187,789 | ||||||
Series 2021-34 MI, 2.500%, due 3/25/51(c) | 136,324 | 18,310 | ||||||
Series 2021-40 SI, 0.488%, (SOFR30A + 5.84%), due 9/25/47(b)(c) | 93,393 | 9,489 | ||||||
Series 2021-8 ID, 3.500%, due 3/25/51(c) | 94,295 | 20,535 | ||||||
Series 2021-95 KI, 2.500%, due 4/25/51(c) | 1,068,366 | 161,380 | ||||||
Series 2022-10 SA, 0.403%, (SOFR30A + 5.75%), due 2/25/52(b)(c) | 681,338 | 96,288 | ||||||
Series 2022-5 SN, (SOFR30A + 1.80%), due 2/25/52(b)(c) | 90,186 | 61 | ||||||
Freddie Mac Gold Pool | ||||||||
Series 2018-G08831, 4.000%, due 8/1/48 | 12,836 | 12,311 |
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Freddie Mac Pool | ||||||||
Series 2019-QA1451, 3.000%, due 8/1/49 | $ | 15,434 | $ | 13,717 | ||||
Series 2019-RA1780, 4.500%, due 11/1/49 | 36,694 | 36,140 | ||||||
Series 2021-SD0809, 3.000%, due 1/1/52 | 834,882 | 735,910 | ||||||
Series 2021-SD8146, 2.000%, due 5/1/51 | 784,742 | 635,462 | ||||||
Series 2022-QD8143, 2.000%, due 3/1/52 | 95,075 | 76,503 | ||||||
Series 2022-RA6622, 2.500%, due 1/1/52 | 221,664 | 187,988 | ||||||
Series 2022-RA7122, 3.500%, due 4/1/52 | 815,845 | 744,287 | ||||||
Series 2022-SD8234, 2.500%, due 8/1/52 | 5,496,718 | 4,638,142 | ||||||
Series 2022-SD8243, 3.500%, due 9/1/52 | 1,440,666 | 1,307,070 | ||||||
Series 2022-SD8277, 5.500%, due 12/1/52 | 630,718 | 631,967 | ||||||
Series 2022-SD8290, 6.000%, due 1/1/53 | 1,224,923 | 1,244,114 | ||||||
Series 2023-RA8647, 4.500%, due 5/1/53 | 89,642 | 86,448 | ||||||
Series 2023-SD3392, 5.500%, due 7/1/53 | 42,398 | 42,594 | ||||||
Series 2023-SD3770, 2.500%, due 3/1/52 | 564,748 | 478,584 | ||||||
Series 2023-SD3960, 6.000%, due 10/1/53 | 320,151 | 325,724 | ||||||
Series 2023-SD4026, 6.000%, due 10/1/53 | 95,564 | 97,316 | ||||||
Series 2023-SD4268, 6.000%, due 11/1/53 | 144,590 | 147,674 | ||||||
Series 2023-SD4471, 6.500%, due 12/1/53 | 1,211,295 | 1,245,368 | ||||||
Series 2023-SD8342, 5.500%, due 7/1/53 | 3,598,814 | 3,604,383 | ||||||
Series 2023-SD8343, 6.000%, due 7/1/53 | 90,915 | 92,312 | ||||||
Series 2023-SD8369, 6.500%, due 10/1/53 | 40,480 | 41,554 | ||||||
Series 2024-SD4958, 2.000%, due 6/1/52 | 3,913,223 | 3,157,763 | ||||||
Series 2024-SD5040, 5.500%, due 3/1/54 | 73,164 | 73,428 | ||||||
Series 2024-SD8407, 5.000%, due 3/1/54 | 229,190 | 225,649 | ||||||
Freddie Mac REMICS | ||||||||
Series 2017-4660, 0.000%, due 1/15/33(d)(e) | 166,647 | 133,382 | ||||||
Series 2017-4710 WZ, 3.500%, due 8/15/47 | 50,938 | 46,491 | ||||||
Series 2020-4993 KS, 0.588%, (SOFR30A + 5.94%), due 7/25/50(b)(c) | 150,643 | 19,119 | ||||||
Series 2020-4994 TS, 0.638%, (SOFR30A + 5.99%), due 7/25/50(b)(c) | 929,563 | 118,073 | ||||||
Series 2020-5021 SA, (SOFR30A + 3.55%), due 10/25/50(b)(c) | 977,051 | 32,829 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2020-5036 IO, 3.500%, due 11/25/50(c) | $ | 161,108 | $ | 31,271 | ||||
Series 2020-5040 IO, 3.500%, due 11/25/50(c) | 59,427 | 11,244 | ||||||
Series 2020-5041 JE, 1.250%, due 3/25/49 | 85,051 | 67,715 | ||||||
Series 2021-5070 PI, 3.000%, due 8/25/50(c) | 68,317 | 12,132 | ||||||
Series 2021-5092 SH, (SOFR30A + 2.45%), due 2/25/51(b)(c) | 82,409 | 520 | ||||||
Series 2021-5092 XA, 1.000%, due 1/15/41 | 115,428 | 97,632 | ||||||
Series 2021-5149 LI, 2.500%, due 10/25/51(c) | 141,189 | 16,664 | ||||||
Series 2021-5187 SA, (SOFR30A + 1.80%), due 1/25/52(b)(c) | 87,768 | 188 | ||||||
Series 2022-5191 IO, 3.500%, due 9/25/50(c) | 75,022 | 14,162 | ||||||
Series 2022-5204 KA, 3.000%, due 5/25/49 | 323,605 | 300,571 | ||||||
Series 2022-5268 B, 4.500%, due 10/25/52 | 252,616 | 243,904 | ||||||
Series 2023-5326 QO, 0.000%, due 9/25/50(d)(e) | 465,606 | 329,229 | ||||||
Series 2023-5328 JY, 0.250%, due 9/25/50 | 263,295 | 178,113 | ||||||
Series 2023-5351 DO, 0.000%, due 9/25/53(d)(e) | 136,369 | 114,939 | ||||||
Freddie Mac STACR REMIC Trust | ||||||||
Series 2020-DNA2 B2, 10.262%, (SOFR30A + 4.91%), due 2/25/50(b) | 40,000 | 43,536 | ||||||
Series 2020-DNA6 B1, 8.347%, (SOFR30A + 3.00%), due 12/25/50(b) | 440,000 | 473,666 | ||||||
Series 2020-HQA1 B2, 10.562%, (SOFR30A + 5.21%), due 1/25/50(b) | 85,000 | 91,998 | ||||||
Series 2020-HQA5 B1, 9.347%, (SOFR30A + 4.00%), due 11/25/50(b) | 555,000 | 623,681 | ||||||
Series 2020-HQA5 B2, 12.747%, (SOFR30A + 7.40%), due 11/25/50(b) | 465,000 | 564,038 | ||||||
Series 2021-DNA1 B1, 7.997%, (SOFR30A + 2.65%), due 1/25/51(b) | 340,000 | 361,250 | ||||||
Series 2021-DNA1 B2, 10.097%, (SOFR30A + 4.75%), due 1/25/51(b) | 490,000 | 527,823 | ||||||
Series 2021-DNA2 B1, 8.747%, (SOFR30A + 3.40%), due 8/25/33(b) | 90,000 | 100,660 | ||||||
Series 2021-DNA2 B2, 11.347%, (SOFR30A + 6.00%), due 8/25/33(b) | 500,000 | 590,155 | ||||||
Series 2021-DNA3 B2, 11.597%, (SOFR30A + 6.25%), due 10/25/33(b) | 485,000 | 573,276 | ||||||
Series 2021-DNA5 B1, 8.397%, (SOFR30A + 3.05%), due 1/25/34(b) | 155,000 | 166,622 | ||||||
Series 2021-DNA5 B2, 10.847%, (SOFR30A + 5.50%), due 1/25/34(b) | 500,000 | 564,165 | ||||||
Series 2021-DNA5 M2, 6.997%, (SOFR30A + 1.65%), due 1/25/34(b) | 258,211 | 260,023 | ||||||
Series 2021-DNA7 M2, 7.147%, (SOFR30A + 1.80%), due 11/25/41(b) | 530,000 | 534,937 | ||||||
Series 2021-HQA1 B1, 8.347%, (SOFR30A + 3.00%), due 8/25/33(b) | 135,000 | 148,481 | ||||||
Series 2021-HQA1 B2, 10.347%, (SOFR30A + 5.00%), due 8/25/33(b) | 740,000 | 802,408 |
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2021-HQA2 B1, 8.497%, (SOFR30A + 3.15%), due 12/25/33(b) | $ | 165,000 | $ | 183,537 | ||||
Series 2021-HQA2 B2, 10.797%, (SOFR30A + 5.45%), due 12/25/33(b) | 700,000 | 782,959 | ||||||
Series 2021-HQA3 B2, 11.597%, (SOFR30A + 6.25%), due 9/25/41(b) | 475,000 | 496,429 | ||||||
Series 2021-HQA3 M2, 7.447%, (SOFR30A + 2.10%), due 9/25/41(b) | 520,000 | 524,472 | ||||||
Series 2021-HQA4 B2, 12.347%, (SOFR30A + 7.00%), due 12/25/41(b) | 413,000 | 441,513 | ||||||
Series 2021-HQA4 M2, 7.697%, (SOFR30A + 2.35%), due 12/25/41(b) | 120,000 | 121,423 | ||||||
Series 2022-DNA1 B1, 8.747%, (SOFR30A + 3.40%), due 1/25/42(b) | 70,000 | 72,342 | ||||||
Series 2022-HQA1 B1, 12.347%, (SOFR30A + 7.00%), due 3/25/42(b) | 570,000 | 636,476 | ||||||
Series 2022-HQA1 B2, 16.347%, (SOFR30A + 11.00%), due 3/25/42(b) | 470,000 | 544,544 | ||||||
Series 2022-HQA2 M2, 11.347%, (SOFR30A + 6.00%), due 7/25/42(b) | 370,000 | 411,769 | ||||||
Series 2022-HQA3 M2, 10.697%, (SOFR30A + 5.35%), due 8/25/42(b) | 400,000 | 438,469 | ||||||
Series 2023-HQA3 M2, 8.697%, (SOFR30A + 3.35%), due 11/25/43(b) | 385,000 | 407,918 | ||||||
Series 2024-HQA1 M2, 7.347%, (SOFR30A + 2.00%), due 3/25/44(b) | 385,000 | 386,686 | ||||||
Freddie Mac STACR Securitized Participation Interests Trust | ||||||||
Series 2018-SPI3 B, 4.153%, due 8/25/48(a)(b) | 698,666 | 522,735 | ||||||
Freddie Mac STACR Trust | ||||||||
Series 2019-FTR1 B2, 13.812%, (SOFR30A + 8.46%), due 1/25/48(b) | 385,000 | 463,602 | ||||||
Series 2019-FTR3 B2, 10.250%, (SOFR30A + 4.91%), due 9/25/47(b) | 500,000 | 532,762 | ||||||
Series 2019-FTR4 B2, 10.462%, (SOFR30A + 5.11%), due 11/25/47(b) | 395,000 | 423,838 | ||||||
Series 2019-HQA3 B2, 12.962%, (SOFR30A + 7.61%), due 9/25/49(b) | 50,000 | 56,909 | ||||||
Freddie Mac Strips | ||||||||
Series 2006-240, 0.000%, due 7/15/36(d)(e) | 39,650 | 34,805 | ||||||
Series 2007-246, 0.000%, due 5/15/37(d)(e) | 57,312 | 47,187 | ||||||
Series 2012-272, 0.000%, due 8/15/42(d)(e) | 170,327 | 130,648 | ||||||
Series 2013-311, 0.000%, due 8/15/43(d)(e) | 185,609 | 142,019 | ||||||
Series 2013-311 S1, 0.498%, (SOFR30A + 5.84%), due 8/15/43(b)(c) | 1,347,012 | 149,079 | ||||||
Series 2022-389 C35, 2.000%, due 6/15/52(c) | 1,084,152 | 138,631 | ||||||
Series 2023-402, 0.000%, due 9/25/53(d)(e) | 116,357 | 95,967 | ||||||
Ginnie Mae Strip | ||||||||
Series 2004-1 1, 0.000%, due 7/20/34(d)(e) | 19,907 | 16,788 | ||||||
Government National Mortgage Association | ||||||||
Series 2010-151 KO, 0.000%, due 6/16/37(d)(e) | 95,929 | 80,797 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2019-128 KF, 3.500%, (TSFR1M + 0.76%), due 10/20/49(b) | $ | 29,448 | $ | 26,375 | ||||
Series 2019-128 YF, 3.500%, (TSFR1M + 0.76%), due 10/20/49(b) | 30,375 | 27,219 | ||||||
Series 2019-159 P, 2.500%, due 9/20/49 | 142,437 | 123,564 | ||||||
Series 2019-92 GF, 3.500%, (TSFR1M + 0.80%), due 7/20/49(b) | 29,247 | 26,277 | ||||||
Series 2019-97 FG, 3.500%, (TSFR1M + 0.80%), due 8/20/49(b) | 673,889 | 602,777 | ||||||
Series 2020-1 YF, 3.500%, (TSFR1M + 0.78%), due 1/20/50(b) | 47,050 | 42,051 | ||||||
Series 2020-1 YS, (TSFR1M + 2.72%), due 1/20/50(b)(c) | 129,388 | 1,796 | ||||||
Series 2020-122 IW, 2.500%, due 7/20/50(c) | 93,827 | 12,009 | ||||||
Series 2020-129 SB, (TSFR1M + 3.09%), due 9/20/50(b)(c) | 177,084 | 2,997 | ||||||
Series 2020-146 SA, 0.840%, (TSFR1M + 6.19%), due 10/20/50(b)(c) | 147,528 | 19,647 | ||||||
Series 2020-151 TI, 2.500%, due 10/20/50(c) | 85,431 | 11,784 | ||||||
Series 2020-166 CA, 1.000%, due 11/20/50 | 129,254 | 95,705 | ||||||
Series 2020-168 IA, 0.979%, due 12/16/62(a)(b)(c) | 1,247,589 | 90,209 | ||||||
Series 2020-176 AI, 2.000%, due 11/20/50(c) | 203,412 | 23,799 | ||||||
Series 2020-177 IO, 0.819%, due 6/16/62(a)(b)(c) | 243,476 | 14,927 | ||||||
Series 2020-185 BI, 2.000%, due 12/20/50(c) | 69,388 | 7,486 | ||||||
Series 2020-189 SU, 0.840%, (TSFR1M + 6.19%), due 12/20/50(b)(c) | 409,387 | 58,747 | ||||||
Series 2020-34 SC, 0.590%, (TSFR1M + 5.94%), due 3/20/50(b)(c) | 90,193 | 10,692 | ||||||
Series 2020-5 FA, 3.500%, (TSFR1M + 0.81%), due 1/20/50(b) | 426,796 | 381,603 | ||||||
Series 2021-1 IT, 3.000%, due 1/20/51(c) | 97,476 | 15,983 | ||||||
Series 2021-1 PI, 2.500%, due 12/20/50(c) | 76,244 | 9,476 | ||||||
Series 2021-122 HS, 0.840%, (TSFR1M + 6.19%), due 7/20/51(b)(c) | 1,071,693 | 154,251 | ||||||
Series 2021-140 GF, 2.500%, (TSFR1M + 0.76%), due 8/20/51(b) | 490,624 | 403,265 | ||||||
Series 2021-149 CI, 2.500%, due 8/20/51(c) | 148,488 | 20,843 | ||||||
Series 2021-16 AS, (TSFR1M + 2.64%), due 1/20/51(b)(c) | 2,322,125 | 23,680 | ||||||
Series 2021-164 IO, 0.949%, due 10/16/63(a)(b)(c) | 211,728 | 15,481 | ||||||
Series 2021-177 CI, 2.500%, due 10/20/51(c) | 103,273 | 13,154 | ||||||
Series 2021-177 SB, (SOFR30A + 3.20%), due 10/20/51(b)(c) | 5,355,291 | 123,618 | ||||||
Series 2021-179 SA, 0.840%, (TSFR1M + 6.19%), due 11/20/50(b)(c) | 122,136 | 16,319 | ||||||
Series 2021-188 IO, 2.500%, due 10/20/51(c) | 926,607 | 152,803 | ||||||
Series 2021-195 B, 1.500%, due 8/16/63 | 1,520,000 | 699,175 | ||||||
Series 2021-205 GA, 2.000%, due 11/20/51 | 162,811 | 133,925 |
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2021-226 SA, (SOFR30A + 1.70%), due 12/20/51(b)(c) | $ | 190,455 | $ | 471 | ||||
Series 2021-29 AS, (SOFR30A + 2.70%), due 2/20/51(b)(c) | 268,363 | 3,953 | ||||||
Series 2021-46 BS, (TSFR1M + 2.69%), due 3/20/51(b)(c) | 2,143,678 | 20,911 | ||||||
Series 2021-47 IO, 0.992%, due 3/16/61(a)(b)(c) | 368,944 | 25,748 | ||||||
Series 2021-57 AI, 2.000%, due 2/20/51(c) | 156,515 | 15,182 | ||||||
Series 2021-57 SA, 0.840%, (TSFR1M + 6.19%), due 3/20/51(b)(c) | 235,713 | 31,074 | ||||||
Series 2021-57 SD, 0.840%, (TSFR1M + 6.19%), due 3/20/51(b)(c) | 411,403 | 55,030 | ||||||
Series 2021-64 SG, (SOFR30A + 1.60%), due 4/20/51(b)(c) | 95,442 | 144 | ||||||
Series 2021-67 PI, 3.000%, due 4/20/51(c) | 91,764 | 14,585 | ||||||
Series 2021-96 FG, 3.500%, (SOFR30A + 0.30%), due 6/20/51(b) | 420,787 | 375,042 | ||||||
Series 2021-96 JS, 0.890%, (TSFR1M + 6.24%), due 6/20/51(b)(c) | 1,268,252 | 174,210 | ||||||
Series 2021-97 FA, 3.000%, (SOFR30A + 0.40%), due 6/20/51(b) | 223,560 | 191,159 | ||||||
Series 2021-97 SM, 0.840%, (TSFR1M + 6.19%), due 6/20/51(b)(c) | 121,094 | 17,746 | ||||||
Series 2021-98 IN, 3.000%, due 6/20/51(c) | 82,513 | 14,550 | ||||||
Series 2022-1 CF, 2.500%, (SOFR30A + 0.80%), due 1/20/52(b) | 264,041 | 217,032 | ||||||
Series 2022-10 IC, 2.000%, due 11/20/51(c) | 1,173,797 | 135,449 | ||||||
Series 2022-101 SB, (SOFR30A + 3.30%), due 6/20/52(b)(c) | 146,701 | 2,334 | ||||||
Series 2022-107 SA, (SOFR30A + 3.47%), due 6/20/52(b)(c) | 6,188,020 | 118,319 | ||||||
Series 2022-113 Z, 2.000%, due 9/16/61 | 41,700 | 21,952 | ||||||
Series 2022-137 S, 0.840%, (TSFR1M + 6.19%), due 7/20/51(b)(c) | 1,372,322 | 176,070 | ||||||
Series 2022-185 DI, 1.023%, due 10/16/65(a)(b)(c) | 889,679 | 66,617 | ||||||
Series 2022-19 SG, (SOFR30A + 2.45%), due 1/20/52(b)(c) | 206,825 | 1,641 | ||||||
Series 2022-206 CN, 3.000%, due 2/20/52 | 227,627 | 200,495 | ||||||
Series 2022-24 SC, (SOFR30A + 2.37%), due 2/20/52(b)(c) | 14,496,455 | 77,672 | ||||||
Series 2022-78 S, (SOFR30A + 3.70%), due 4/20/52(b)(c) | 140,324 | 2,837 | ||||||
Series 2022-83 IO, 2.500%, due 11/20/51(c) | 253,340 | 35,280 | ||||||
Series 2022-87 SA, (SOFR30A + 3.30%), due 5/20/52(b)(c) | 292,752 | 4,812 | ||||||
Series 2023-1 HD, 3.500%, due 1/20/52 | 194,161 | 175,692 | ||||||
Series 2023-101 KO, 0.000%, due 1/20/51(d)(e) | 116,495 | 78,519 | ||||||
Series 2023-159 CI, 0.956%, due 7/16/65(a)(b)(c) | 348,418 | 27,282 | ||||||
Series 2023-172 IO, 1.386%, due 2/16/66(a)(b)(c) | 1,238,824 | 124,318 |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Principal Amount | Value | |||||||
U.S. Government & Federal Agencies (continued) | ||||||||
Mortgage Securities (continued) | ||||||||
Series 2023-19 CI, 3.000%, due 11/20/51(c) | $ | 1,127,997 | $ | 177,314 | ||||
Series 2023-19 IO, 2.500%, due 2/20/51(c) | 1,007,095 | 140,642 | ||||||
Series 2023-194 CI, 0.876%, due 10/16/65(a)(b)(c) | 1,577,017 | 109,266 | ||||||
Series 2023-26 L, 3.800%, due 4/16/65(a)(b) | 180,000 | 137,582 | ||||||
Series 2023-53, 0.000%, due 4/20/53(d)(e) | 353,665 | 280,875 | ||||||
Series 2023-59 YC, 6.963%, due 9/20/51(a)(b) | 71,719 | 78,048 | ||||||
Series 2023-60 ES, 0.512%, (SOFR30A + 11.20%), due 4/20/53(b) | 81,400 | 75,272 | ||||||
Series 2023-63 MA, 3.500%, due 5/20/50 | 191,442 | 175,501 | ||||||
Series 2023-66 OQ, 0.000%, due 7/20/52(d)(e) | 88,370 | 69,713 | ||||||
Series 2023-80 SA, (SOFR30A + 5.25%), due 6/20/53(b)(c) | 2,738,008 | 114,991 | ||||||
Series 2023-86 SE, 1.306%, (SOFR30A + 6.65%), due 9/20/50(b)(c) | 796,536 | 114,905 | ||||||
Series 2024-29 B, 2.500%, due 8/16/64(a)(b) | 265,000 | 202,253 | ||||||
Seasoned Loans Structured Transaction Series | ||||||||
Series 2018-1 A1, 3.500%, due 6/25/28 | 55,014 | 52,412 | ||||||
62,126,444 | ||||||||
Total U.S. Government & Federal Agencies | ||||||||
(Cost $60,959,844) | 62,126,444 | |||||||
Shares | Value | |||||||
Collateralized Loan Obligation — 0.8% | ||||||||
AGL CLO 32 Ltd., (Cayman Islands), Class Series 2024-32A A1, 0.01%(b) | 250,000 | 250,085 | ||||||
OCP CLO Ltd., (Cayman Islands), Class Series 2017-14A A1R, 0.01%(b) | 250,000 | 250,000 | ||||||
Regatta XI Funding Ltd., (Cayman Islands), Class Series 2018-1A AR, 6.70%(b) | 250,000 | 249,987 | ||||||
Signal Peak CLO 12 Ltd., (Cayman Islands), Class Series 2022-12A A1R, 0.01%(b) | 250,000 | 250,000 | ||||||
Total Collateralized Loan Obligation | ||||||||
(Cost $1,000,000) | 1,000,072 | |||||||
Shares | Value | |||||||
Short-Term Investment — 1.2% | ||||||||
Money Market Fund — 1.2% | ||||||||
Dreyfus Treasury Obligations Cash Management Fund, 4.94%(f) | ||||||||
(Cost $1,460,113) | 1,460,113 | $ | 1,460,113 | |||||
Total Investments — 99.7% (Cost $121,424,049) | 123,141,325 | |||||||
Other Assets and Liabilities, Net — 0.3% | 356,332 | |||||||
Net Assets — 100% | $ | 123,497,657 |
(a) | Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. |
(b) | Variable rate securities that may be tendered back to the issuer at any time prior to maturity at par. Rate shown is the rate in effect as of July 31, 2024. |
(c) | Interest only security. An interest only security is the interest only portion of a fixed income security, which is separated and sold individually from the principal portion of the security. |
(d) | A principal only security is the principal only portion of a fixed income security, which is separated and sold individually from the interest portion of the security. |
(e) | The security was issued on a discount basis with no stated coupon rate. Rate shown reflects the effective yield. |
(f) | Reflects the 7-day yield at July 31, 2024. |
Abbreviations | |
SOFR | - Secured Financing Overnight Rate |
Schedule of Investments ─ NYLI MacKay Securitized Income ETF (formerly, IQ MacKay Securitized Income ETF) (continued)
July 31, 2024 (unaudited)
Open futures contracts outstanding at July 31, 2024: | ||||||||||||||||
Type | Broker | Expiration Date | Number of Contracts Purchased (Sold) | Notional Value at Trade Date | Notional Value at July 31, 2024 | Unrealized Appreciation (Depreciation) | ||||||||||
U.S. 10 Year Note (CBT) | Citigroup Global Markets Inc. | September 2024 | 217 | $ | 23,938,269 | $ | 24,263,312 | $ | 325,043 | |||||||
U.S. 5 Year Note (CBT) | Citigroup Global Markets Inc. | September 2024 | 110 | 11,725,903 | 11,867,969 | 142,066 | ||||||||||
$ | 467,109 |
CBT — Chicago Board of Trade
Cash posted as collateral to broker for futures contracts was $577,000 at July 31, 2024.
The following is a summary of the inputs used to value the Fund’s investments as of July 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:(a) | ||||||||||||||||
Collateralized Loan Obligation | $ | — | $ | 1,000,072 | $ | — | $ | 1,000,072 | ||||||||
Collateralized Mortgage Obligations | — | 20,405,384 | — | 20,405,384 | ||||||||||||
Commercial Asset-Backed Securities | — | 14,372,160 | — | 14,372,160 | ||||||||||||
Commercial Mortgage-Backed Securities | — | 23,777,152 | — | 23,777,152 | ||||||||||||
U.S. Government & Federal Agencies | — | 62,126,444 | — | 62,126,444 | ||||||||||||
Short-Term Investment: | ||||||||||||||||
Money Market Fund | 1,460,113 | — | — | 1,460,113 | ||||||||||||
Total Investments in Securities | 1,460,113 | 121,681,212 | — | 123,141,325 | ||||||||||||
Other Financial Instruments:(b) | ||||||||||||||||
Futures Contracts | 467,109 | — | — | 467,109 | ||||||||||||
Total Investments in Securities and Other Financial Instruments | $ | 1,927,222 | $ | 121,681,212 | $ | — | $ | 123,608,434 |
(a) | For a complete listing of investments and their industries, see the Schedule of Investments. |
(b) | Reflects the unrealized appreciation (depreciation) of the instruments. |
For the period ended July 31, 2024, the Fund did not have any transfers into or out of Level 3 within the fair value hierarchy.