Schedule of Investments Carbon Transition & Infrastructure ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 97.8% | ||
Building Products 0.9% | ||
3,817 | Johnson Controls International PLC | $274,481 |
Chemicals 10.6% | ||
1,674 | Air Products & Chemicals, Inc. | 446,456 |
3,782 | Linde PLC | 1,647,136 |
1,249 | Sherwin-Williams Co. | 379,446 |
2,904 | Sika AG | 885,279 |
3,358,317 | ||
Commercial Services & Supplies 3.0% | ||
5,733 | Waste Connections, Inc. | 941,458 |
Construction & Engineering 3.8% | ||
4,347 | Quanta Services, Inc. | 1,199,511 |
Construction Materials 3.4% | ||
13,524 | CRH PLC | 1,067,266 |
Electric Utilities 17.0% | ||
4,356 | Acciona SA | 559,251 |
7,616 | Constellation Energy Corp. | 1,654,576 |
3,415 | Duke Energy Corp. | 353,692 |
8,447 | Exelon Corp. | 317,185 |
10,640 | FirstEnergy Corp. | 428,366 |
57,870 | Iberdrola SA | 763,812 |
16,335 | NextEra Energy, Inc. | 1,307,127 |
5,384,009 | ||
Electrical Equipment 28.1% | ||
29,524 | ABB Ltd. | 1,627,818 |
4,855 | Eaton Corp. PLC | 1,615,987 |
4,384 | GE Vernova, Inc.* | 771,145 |
3,447 | Generac Holdings, Inc.* | 507,433 |
2,904 | Hubbell, Inc. | 1,129,336 |
31,504 | Nordex SE* | 497,601 |
4,917 | Prysmian SpA | 323,390 |
4,840 | Schneider Electric SE | 1,207,484 |
43,373 | Vestas Wind Systems AS* | 1,216,975 |
8,897,169 | ||
Electronic Equipment, Instruments & Components 3.5% | ||
10,340 | Itron, Inc.* | 1,112,067 |
Independent Power and Renewable Electricity Producers 4.0% | ||
15,796 | Atlantica Sustainable Infrastructure PLC | 347,196 |
Number of Shares | Value | |
Independent Power and Renewable Electricity Producers – cont'd | ||
11,703 | NextEra Energy Partners LP | $394,508 |
6,908 | Ormat Technologies, Inc. | 520,863 |
1,262,567 | ||
Machinery 1.2% | ||
2,358 | Chart Industries, Inc.* | 370,277 |
Multi-Utilities 6.6% | ||
17,864 | CenterPoint Energy, Inc. | 545,030 |
12,416 | Dominion Energy, Inc. | 669,471 |
32,661 | National Grid PLC | 370,049 |
6,594 | Sempra | 507,936 |
2,092,486 | ||
Oil, Gas & Consumable Fuels 7.8% | ||
6,530 | Cheniere Energy, Inc. | 1,030,369 |
7,336 | DT Midstream, Inc. | 492,099 |
22,954 | Williams Cos., Inc. | 952,820 |
2,475,288 | ||
Professional Services 3.5% | ||
8,257 | Arcadis NV | 541,827 |
3,960 | Jacobs Solutions, Inc. | 551,787 |
1,093,614 | ||
Semiconductors & Semiconductor Equipment 4.4% | ||
5,131 | First Solar, Inc.* | 1,394,401 |
Total Common Stocks (Cost $25,094,654) | 30,922,911 | |
Rights 0.1% | ||
Multi-Utilities 0.1% | ||
9,526 | National Grid PLC Expires 6/10/2024* (Cost $0) | 23,798 |
Short-Term Investments 1.8% | ||
Investment Companies 1.8% | ||
579,768 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(a) (Cost $579,768) | 579,768 |
Total Investments 99.7% (Cost $25,674,422) | 31,526,477 | |
Other Assets Less Liabilities 0.3% | 85,312 | |
Net Assets 100.0% | $31,611,789 |
* | Non-income producing security. |
(a) | Represents 7-day effective yield as of May 31, 2024. |
See Notes to Schedule of Investments
Schedule of Investments Carbon Transition & Infrastructure ETF^ (Unaudited) (cont’d)
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $23,789,713 | 75.3% |
Switzerland | 2,513,097 | 8.0% |
Spain | 1,670,259 | 5.3% |
Denmark | 1,216,975 | 3.8% |
Netherlands | 541,827 | 1.7% |
Germany | 497,601 | 1.6% |
United Kingdom | 393,847 | 1.2% |
Italy | 323,390 | 1.0% |
Short-Term Investments and Other Assets—Net | 665,080 | 2.1% |
$31,611,789 | 100.0% |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Chemicals | $2,473,038 | $885,279 | $— | $3,358,317 |
Construction Materials | — | 1,067,266 | — | 1,067,266 |
Electric Utilities | 4,060,946 | 1,323,063 | — | 5,384,009 |
Electrical Equipment | 4,023,901 | 4,873,268 | — | 8,897,169 |
Multi-Utilities | 1,722,437 | 370,049 | — | 2,092,486 |
Professional Services | 551,787 | 541,827 | — | 1,093,614 |
Other Common Stocks# | 9,030,050 | — | — | 9,030,050 |
Total Common Stocks | 21,862,159 | 9,060,752 | — | 30,922,911 |
Rights# | 23,798 | — | — | 23,798 |
Short-Term Investments | — | 579,768 | — | 579,768 |
Total Investments | $21,885,957 | $9,640,520 | $— | $31,526,477 |
# | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments China Equity ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 97.1% | ||
Air Freight & Logistics 1.0% | ||
10,900 | SF Holding Co. Ltd. Class A | $55,244 |
Automobile Components 4.6% | ||
31,500 | Fuyao Glass Industry Group Co. Ltd. Class A | 200,699 |
4,300 | Huizhou Desay Sv Automotive Co. Ltd. Class A | 59,406 |
260,105 | ||
Banks 6.4% | ||
94,000 | China CITIC Bank Corp. Ltd. Class H | 57,492 |
198,600 | China Construction Bank Corp. Class A | 192,416 |
24,300 | China Merchants Bank Co. Ltd. Class A | 114,587 |
364,495 | ||
Beverages 9.7% | ||
1,100 | Kweichow Moutai Co. Ltd. Class A | 249,536 |
3,200 | Luzhou Laojiao Co. Ltd. Class A | 76,779 |
3,500 | Shanxi Xinghuacun Fen Wine Factory Co. Ltd. Class A | 116,174 |
10,200 | Tsingtao Brewery Co. Ltd. Class A | 109,070 |
551,559 | ||
Biotechnology 2.4% | ||
17,000 | Akeso, Inc.*(a) | 95,988 |
3,500 | BeiGene Ltd.* | 40,004 |
135,992 | ||
Broadline Retail 1.3% | ||
20,000 | Chongqing Department Store Co. Ltd. Class A | 74,005 |
Building Products 1.8% | ||
44,700 | Zhejiang Weixing New Building Materials Co. Ltd. Class A | 104,528 |
Chemicals 2.0% | ||
9,400 | Wanhua Chemical Group Co. Ltd. Class A | 113,199 |
Communications Equipment 2.5% | ||
16,200 | Shanghai Huace Navigation Technology Ltd. Class A* | 65,618 |
3,700 | Zhongji Innolight Co. Ltd. Class A | 79,637 |
145,255 | ||
Consumer Staples Distribution & Retail 1.4% | ||
17,100 | Laobaixing Pharmacy Chain JSC Class A | 79,093 |
Containers & Packaging 1.9% | ||
32,100 | Shenzhen YUTO Packaging Technology Co. Ltd. Class A | 110,226 |
Number of Shares | Value | |
Electrical Equipment 8.8% | ||
3,700 | Contemporary Amperex Technology Co. Ltd. Class A | $100,463 |
57,400 | Dongfang Electric Corp. Ltd. Class A | 145,259 |
16,500 | NARI Technology Co. Ltd. Class A | 51,048 |
10,100 | Ningbo Sanxing Medical Electric Co. Ltd. Class A | 47,227 |
5,600 | Sungrow Power Supply Co. Ltd. Class A | 76,077 |
20,304 | Suzhou Veichi Electric Co. Ltd. Class A | 79,939 |
500,013 | ||
Electronic Equipment, Instruments & Components 8.2% | ||
34,600 | Foxconn Industrial Internet Co. Ltd. Class A | 108,817 |
26,400 | Luxshare Precision Industry Co. Ltd. Class A | 115,638 |
35,600 | Shenzhen Sunlord Electronics Co. Ltd. Class A | 122,117 |
12,683 | SUPCON Technology Co. Ltd. Class A | 74,570 |
12,400 | Victory Giant Technology Huizhou Co. Ltd. Class A* | 46,885 |
468,027 | ||
Food Products 5.1% | ||
5,100 | Anjoy Foods Group Co. Ltd. Class A | 63,776 |
18,200 | Chacha Food Co. Ltd. Class A | 81,552 |
11,760 | Yankershop Food Co. Ltd. Class A | 76,100 |
23,900 | Zhejiang Huatong Meat Products Co. Ltd. Class A | 70,698 |
292,126 | ||
Health Care Equipment & Supplies 4.0% | ||
3,019 | iRay Technology Co. Ltd. Class A* | 70,835 |
4,000 | Shenzhen Mindray Bio-Medical Electronics Co. Ltd. Class A | 159,655 |
230,490 | ||
Health Care Providers & Services 1.1% | ||
36,500 | Aier Eye Hospital Group Co. Ltd. Class A | 60,821 |
Household Durables 4.2% | ||
12,500 | Hisense Home Appliances Group Co. Ltd. Class A | 69,977 |
19,200 | Midea Group Co. Ltd. Class A | 171,005 |
240,982 | ||
Insurance 1.9% | ||
18,600 | Ping An Insurance Group Co. of China Ltd. Class A | 110,328 |
Machinery 9.5% | ||
32,600 | First Tractor Co. Ltd. Class A | 77,058 |
30,240 | Hangcha Group Co. Ltd. Class A | 83,246 |
See Notes to Schedule of Investments
Schedule of Investments China Equity ETF^ (Unaudited) (cont’d)
Number of Shares | Value | |
Machinery – cont'd | ||
31,000 | Sany Heavy Industry Co. Ltd. Class A | $69,011 |
24,580 | Shenzhen Envicool Technology Co. Ltd. Class A | 80,006 |
66,000 | Yangzijiang Shipbuilding Holdings Ltd. | 111,672 |
39,100 | Zhejiang Sanhua Intelligent Controls Co. Ltd. Class A | 123,981 |
544,974 | ||
Metals & Mining 1.4% | ||
70,300 | CMOC Group Ltd. Class A | 80,803 |
Personal Care Products 1.5% | ||
5,800 | Proya Cosmetics Co. Ltd. Class A | 87,085 |
Pharmaceuticals 6.8% | ||
13,100 | Beijing Tongrentang Co. Ltd. Class A | 80,360 |
7,100 | China Resources Sanjiu Medical & Pharmaceutical Co. Ltd. Class A | 59,418 |
20,000 | HUTCHMED China Ltd.* | 75,667 |
29,900 | Jiangsu Hengrui Pharmaceuticals Co. Ltd. Class A | 174,251 |
389,696 | ||
Real Estate Management & Development 1.7% | ||
67,300 | Poly Developments & Holdings Group Co. Ltd. Class A | 94,583 |
Number of Shares | Value | |
Semiconductors & Semiconductor Equipment 5.0% | ||
3,982 | Anji Microelectronics Technology Shanghai Co. Ltd. Class A | $86,169 |
31,600 | Tongwei Co. Ltd. Class A | 99,956 |
7,600 | Will Semiconductor Co. Ltd. Shanghai Class A | 98,264 |
284,389 | ||
Textiles, Apparel & Luxury Goods 1.3% | ||
32,400 | Chow Tai Seng Jewellery Co. Ltd. Class A | 74,641 |
Transportation Infrastructure 1.6% | ||
58,000 | Jiangsu Expressway Co. Ltd. Class A | 93,608 |
Total Common Stocks (Cost $5,407,513) | 5,546,267 | |
Short-Term Investments 4.8% | ||
Investment Companies 4.8% | ||
273,014 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(b) (Cost $273,014) | 273,014 |
Total Investments 101.9% (Cost $5,680,527) | 5,819,281 | |
Liabilities Less Other Assets (1.9)% | (106,460 ) | |
Net Assets 100.0% | $5,712,821 |
* | Non-income producing security. |
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at May 31, 2024 amounted to $95,988, which represents 1.7% of net assets of the Fund. |
(b) | Represents 7-day effective yield as of May 31, 2024. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Air Freight & Logistics | $— | $55,244 | $— | $55,244 |
Automobile Components | — | 260,105 | — | 260,105 |
Banks | — | 364,495 | — | 364,495 |
Beverages | — | 551,559 | — | 551,559 |
Biotechnology | — | 135,992 | — | 135,992 |
Broadline Retail | — | 74,005 | — | 74,005 |
Building Products | — | 104,528 | — | 104,528 |
Chemicals | — | 113,199 | — | 113,199 |
Communications Equipment | — | 145,255 | — | 145,255 |
Consumer Staples Distribution & Retail | — | 79,093 | — | 79,093 |
See Notes to Schedule of Investments
Schedule of Investments China Equity ETF^ (Unaudited) (cont’d)
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Containers & Packaging | $— | $110,226 | $— | $110,226 |
Electrical Equipment | 47,227 | 452,786 | — | 500,013 |
Electronic Equipment, Instruments & Components | — | 468,027 | — | 468,027 |
Food Products | 70,698 | 221,428 | — | 292,126 |
Health Care Equipment & Supplies | — | 230,490 | — | 230,490 |
Health Care Providers & Services | — | 60,821 | — | 60,821 |
Household Durables | 69,977 | 171,005 | — | 240,982 |
Insurance | — | 110,328 | — | 110,328 |
Machinery | — | 544,974 | — | 544,974 |
Metals & Mining | — | 80,803 | — | 80,803 |
Personal Care Products | — | 87,085 | — | 87,085 |
Pharmaceuticals | — | 389,696 | — | 389,696 |
Real Estate Management & Development | — | 94,583 | — | 94,583 |
Semiconductors & Semiconductor Equipment | — | 284,389 | — | 284,389 |
Textiles, Apparel & Luxury Goods | — | 74,641 | — | 74,641 |
Transportation Infrastructure | — | 93,608 | — | 93,608 |
Total Common Stocks | 187,902 | 5,358,365 | — | 5,546,267 |
Short-Term Investments | — | 273,014 | — | 273,014 |
Total Investments | $187,902 | $5,631,379 | $— | $5,819,281 |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) May 31, 2024
Principal Amount | Value | |
U.S. Treasury Obligations 1.8% | ||
$5,000,000 | U.S. Treasury Bills, 5.24%, due 8/1/2024 (Cost $4,955,614) | $4,956,938 (a) |
Asset-Backed Securities 20.1% | ||
Ally Auto Receivables Trust | ||
1,083,611 | Series 2023-1, Class A2, 5.76%, due 11/15/2026 | 1,083,956 |
663,000 | Series 2024-1, Class A2, 5.32%, due 1/15/2027 | 661,724 |
474,329 | Amur Equipment Finance Receivables XI LLC, Series 2022-2A, Class A2, 5.30%, due 6/21/2028 | 472,605 (b) |
297,000 | Amur Equipment Finance Receivables XIII LLC, Series 2024-1A, Class A2, 5.38%, due 1/21/2031 | 295,824 (b) |
291,528 | Bank of America Auto Trust, Series 2023-1A, Class A2, 5.83%, due 5/15/2026 | 291,687 (b) |
527,079 | BMW Vehicle Lease Trust, Series 2023-2, Class A2, 5.95%, due 8/25/2025 | 527,590 |
924,278 | BMW Vehicle Owner Trust, Series 2023-A, Class A2A, 5.72%, due 4/27/2026 | 924,641 |
1,990,000 | BofA Auto Trust, Series 2024-1A, Class A2, 5.57%, due 12/15/2026 | 1,989,240 (b) |
744,205 | Capital One Prime Auto Receivables Trust, Series 2023-1, Class A2, 5.20%, due 5/15/2026 | 743,003 |
406,000 | CarMax Auto Owner Trust, Series 2024-1, Class A2A, 5.30%, due 3/15/2027 | 405,031 |
1,243,394 | CCG Receivables Trust, Series 2023-1, Class A2, 5.82%, due 9/16/2030 | 1,245,111 (b) |
Citizens Auto Receivables Trust | ||
1,159,276 | Series 2023-1, Class A2A, 6.13%, due 7/15/2026 | 1,160,799 (b) |
1,831,865 | Series 2023-2, Class A2A, 6.09%, due 10/15/2026 | 1,834,808 (b) |
2,097,000 | Series 2024-2, Class A2A, 5.54%, due 11/16/2026 | 2,095,759 (b) |
CNH Equipment Trust | ||
345,000 | Series 2024-A, Class A2, 5.19%, due 7/15/2027 | 343,738 |
831,000 | Series 2024-B, Class A2B, (30 day USD SOFR Average + 0.40%), 5.72%, due 10/15/2027 | 831,415 (c) |
1,042,000 | Daimler Trucks Retail Trust, Series 2024-1, Class A2, 5.60%, due 4/15/2026 | 1,041,581 |
Dell Equipment Finance Trust | ||
193,571 | Series 2023-1, Class A2, 5.65%, due 9/22/2028 | 193,547 (b) |
861,000 | Series 2024-1, Class A2, 5.58%, due 3/22/2030 | 861,597 (b) |
469,090 | DLLAA LLC, Series 2023-1A, Class A2, 5.93%, due 7/20/2026 | 469,562 (b) |
729,000 | Dllad LLC, Series 2024-1A, Class A2, 5.50%, due 8/20/2027 | 728,777 (b) |
196,597 | DLLAD LLC, Series 2023-1A, Class A2, 5.19%, due 4/20/2026 | 196,125 (b) |
204,000 | DLLST LLC, Series 2024-1A, Class A2, 5.33%, due 1/20/2026 | 203,389 (b) |
1,422,957 | Fifth Third Auto Trust, Series 2023-1, Class A2A, 5.80%, due 11/16/2026 | 1,423,998 |
731,000 | Ford Credit Auto Lease Trust, Series 2024-A, Class A2A, 5.24%, due 7/15/2026 | 729,465 |
Ford Credit Auto Owner Trust | ||
362,309 | Series 2023-A, Class A2A, 5.14%, due 3/15/2026 | 361,733 |
2,140,000 | Series 2024-A, Class A2A, 5.32%, due 1/15/2027 | 2,136,891 |
385,997 | GECU Auto Receivables Trust, Series 2023-1A, Class A2, 5.95%, due 3/15/2027 | 386,231 (b) |
GM Financial Automobile Leasing Trust | ||
262,596 | Series 2023-1, Class A2A, 5.27%, due 6/20/2025 | 262,487 |
371,510 | Series 2023-3, Class A2A, 5.58%, due 1/20/2026 | 371,385 |
GM Financial Consumer Automobile Receivables Trust | ||
36,716 | Series 2022-3, Class A2A, 3.50%, due 9/16/2025 | 36,679 |
180,876 | Series 2023-2, Class A2A, 5.10%, due 5/18/2026 | 180,552 |
1,999,879 | Honda Auto Receivables Owner Trust, Series 2023-2, Class A2, 5.41%, due 4/15/2026 | 1,997,933 |
752,000 | HPEFS Equipment Trust, Series 2022-1A, Class B, 1.79%, due 5/21/2029 | 746,774 (b) |
632,000 | Huntington Auto Trust, Series 2024-1A, Class A2, 5.50%, due 3/15/2027 | 631,227 (b) |
Hyundai Auto Lease Securitization Trust | ||
118,975 | Series 2023-A, Class A2A, 5.20%, due 4/15/2025 | 118,943 (b) |
667,388 | Series 2023-C, Class A2A, 5.85%, due 3/16/2026 | 668,137 (b) |
721,000 | Series 2024-A, Class A2A, 5.15%, due 6/15/2026 | 718,680 (b) |
Hyundai Auto Receivables Trust | ||
627,047 | Series 2023-A, Class A2A, 5.19%, due 12/15/2025 | 626,336 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |
Asset-Backed Securities – cont'd | ||
$2,262,635 | Series 2023-C, Class A2A, 5.80%, due 1/15/2027 | $2,265,572 |
639,000 | Series 2024-A, Class A2A, 5.29%, due 4/15/2027 | 637,796 |
John Deere Owner Trust | ||
567,973 | Series 2023-C, Class A2, 5.76%, due 8/17/2026 | 568,092 |
752,000 | Series 2024-A, Class A2A, 5.19%, due 2/16/2027 | 750,046 |
308,051 | Kubota Credit Owner Trust, Series 2023-1A, Class A2, 5.40%, due 2/17/2026 | 307,634 (b) |
136,834 | Mercedes-Benz Auto Receivables Trust, Series 2022-1, Class A2, 5.26%, due 10/15/2025 | 136,791 |
1,088,620 | Nissan Auto Lease Trust, Series 2023-B, Class A2A, 5.74%, due 8/15/2025 | 1,088,806 |
Nissan Auto Receivables Owner Trust | ||
134,952 | Series 2022-B, Class A2, 4.50%, due 8/15/2025 | 134,810 |
1,555,294 | Series 2023-A, Class A2A, 5.34%, due 2/17/2026 | 1,553,981 |
1,557,861 | Porsche Financial Auto Securitization Trust, Series 2023-2A, Class A2A, 5.88%, due 11/23/2026 | 1,559,503 (b) |
757,000 | SBNA Auto Lease Trust, Series 2024-A, Class A2, 5.45%, due 1/20/2026 | 756,087 (b) |
3,688,000 | SFS Auto Receivables Securitization Trust, Series 2024-2A, Class A2, 5.71%, due 10/20/2027 | 3,690,045 (b) |
118,000 | Tesla Auto Lease Trust, Series 2024-A, Class A2A, 5.37%, due 6/22/2026 | 117,724 (b) |
Toyota Auto Receivables Owner Trust | ||
278,675 | Series 2023-A, Class A2, 5.05%, due 1/15/2026 | 278,310 |
2,101,856 | Series 2023-C, Class A2A, 5.60%, due 8/17/2026 | 2,101,600 |
1,400,799 | USAA Auto Owner Trust, Series 2023-A, Class A2, 5.83%, due 7/15/2026 | 1,401,530 (b) |
Verizon Master Trust | ||
1,138,000 | Series 2022-7, Class A1B, (30 day USD SOFR Average + 0.85%), 6.17%, due 11/22/2027 | 1,140,433 (c) |
474,000 | Series 2023-5, Class A1B, (30 day USD SOFR Average + 0.68%), 6.00%, due 9/8/2028 | 477,924 (c) |
1,113,000 | Series 2024-3, Class A1B, (30 day USD SOFR Average + 0.58%), 5.90%, due 4/22/2030 | 1,115,085 (c) |
Volkswagen Auto Lease Trust | ||
772,386 | Series 2023-A, Class A2A, 5.87%, due 1/20/2026 | 773,021 |
411,000 | Series 2024-A, Class A2A, 5.40%, due 12/21/2026 | 410,410 |
World Omni Auto Receivables Trust | ||
83,706 | Series 2022-D, Class A2A, 5.51%, due 3/16/2026 | 83,691 |
604,602 | Series 2023-A, Class A2A, 5.18%, due 7/15/2026 | 603,615 |
1,975,544 | Series 2023-C, Class A2A, 5.57%, due 12/15/2026 | 1,975,204 |
Total Asset-Backed Securities (Cost $53,907,551) | 53,926,670 | |
Corporate Bonds 60.6% | ||
Agriculture 0.8% | ||
2,065,000 | Philip Morris International, Inc., 5.13%, due 11/15/2024 | 2,061,361 |
Auto Manufacturers 2.6% | ||
1,400,000 | General Motors Financial Co., Inc., 1.20%, due 10/15/2024 | 1,377,015 |
1,644,000 | Mercedes-Benz Finance North America LLC, (Secured Overnight Financing Rate + 0.93%), 6.28%, due 3/30/2025 | 1,653,342 (b)(c) |
3,935,000 | Volkswagen Group of America Finance LLC, (Secured Overnight Financing Rate + 0.83%), 6.18%, due 3/20/2026 | 3,946,623 (b)(c) |
6,976,980 | ||
Banks 20.8% | ||
Bank of America Corp. | ||
374,000 | 4.00%, due 1/22/2025 | 369,952 |
1,245,000 | (3 mo. USD Term SOFR + 1.35%), 3.09%, due 10/1/2025 | 1,233,590 (d) |
1,740,000 | (Secured Overnight Financing Rate + 1.33%), 6.68%, due 4/2/2026 | 1,751,300 (c) |
4,770,000 | Bank of New York Mellon Corp., 2.10%, due 10/24/2024 | 4,705,167 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |
Banks – cont'd | ||
Citigroup, Inc. | ||
$1,425,000 | (Secured Overnight Financing Rate + 0.69%), 6.05%, due 1/25/2026 | $1,426,671 (c) |
4,485,000 | (Secured Overnight Financing Rate + 1.53%), 6.88%, due 3/17/2026 | 4,518,880 (c) |
Credit Suisse AG | ||
3,511,000 | 4.75%, due 8/9/2024 | 3,503,945 |
800,000 | 3.63%, due 9/9/2024 | 795,492 |
5,121,000 | Goldman Sachs Group, Inc., 5.70%, due 11/1/2024 | 5,121,045 |
JPMorgan Chase & Co. | ||
2,395,000 | (Secured Overnight Financing Rate + 0.92%), 6.28%, due 2/24/2026 | 2,403,270 (c) |
3,175,000 | (Secured Overnight Financing Rate + 0.89%), 6.24%, due 4/22/2027 | 3,189,850 (c) |
5,350,000 | Morgan Stanley, (Secured Overnight Financing Rate + 0.95%), 6.31%, due 2/18/2026 | 5,369,153 (c) |
220,000 | Morgan Stanley Bank NA, (Secured Overnight Financing Rate + 0.78%), 6.14%, due 7/16/2025 | 221,210 (c) |
1,835,000 | Nordea Bank Abp, (Secured Overnight Financing Rate + 0.74%), 6.09%, due 3/19/2027 | 1,841,946 (b)(c) |
910,000 | PNC Bank NA, 2.95%, due 2/23/2025 | 893,188 |
4,670,000 | Royal Bank of Canada, (Secured Overnight Financing Rate Index + 0.44%), 5.80%, due 1/21/2025 | 4,674,633 (c) |
4,130,000 | Truist Financial Corp., (Secured Overnight Financing Rate + 0.40%), 5.75%, due 6/9/2025 | 4,129,794 (c) |
4,050,000 | U.S. Bancorp, 2.40%, due 7/30/2024 | 4,028,736 |
5,640,000 | Wells Fargo Bank NA, (Secured Overnight Financing Rate + 1.07%), 6.42%, due 12/11/2026 | 5,712,862 (c) |
55,890,684 | ||
Beverages 1.8% | ||
2,775,000 | Pepsico Singapore Financing I Pte. Ltd., (Secured Overnight Financing Rate Index + 0.56%), 5.92%, due 2/16/2027 | 2,786,276 (c) |
2,172,000 | PepsiCo, Inc., (Secured Overnight Financing Rate Index + 0.40%), 5.76%, due 11/12/2024 | 2,174,283 (c) |
4,960,559 | ||
Biotechnology 0.8% | ||
2,250,000 | Amgen, Inc., 5.25%, due 3/2/2025 | 2,244,526 |
Diversified Financial Services 3.4% | ||
5,104,000 | American Express Co., (Secured Overnight Financing Rate Index + 0.93%), 6.28%, due 3/4/2025 | 5,127,980 (c) |
Capital One Financial Corp. | ||
1,480,000 | 3.30%, due 10/30/2024 | 1,465,149 |
2,496,000 | 3.20%, due 2/5/2025 | 2,453,826 |
9,046,955 | ||
Electric 3.1% | ||
930,000 | Florida Power & Light Co., 3.25%, due 6/1/2024 | 930,000 |
1,015,000 | Georgia Power Co., (Secured Overnight Financing Rate Index + 0.75%), 6.11%, due 5/8/2025 | 1,018,749 (c) |
985,000 | Mississippi Power Co., (Secured Overnight Financing Rate + 0.30%), 5.66%, due 6/28/2024 | 985,003 (c) |
2,220,000 | National Rural Utilities Cooperative Finance Corp., (Secured Overnight Financing Rate + 0.33%), 5.69%, due 10/18/2024 | 2,220,945 (c) |
3,105,000 | NextEra Energy Capital Holdings, Inc., (Secured Overnight Financing Rate Index + 0.76%), 6.12%, due 1/29/2026 | 3,112,453 (c) |
8,267,150 | ||
Healthcare - Products 2.7% | ||
2,825,000 | Baxter International, Inc., (Secured Overnight Financing Rate Index + 0.44%), 5.81%, due 11/29/2024 | 2,824,411 (c) |
4,588,000 | Thermo Fisher Scientific, Inc., 1.22%, due 10/18/2024 | 4,513,750 |
7,338,161 | ||
Insurance 1.5% | ||
870,000 | Corebridge Global Funding, 0.65%, due 6/17/2024 | 868,269 (b) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |
Insurance – cont'd | ||
$3,091,000 | Protective Life Global Funding, (Secured Overnight Financing Rate + 0.98%), 6.34%, due 3/28/2025 | $3,105,456 (b)(c) |
3,973,725 | ||
Machinery - Construction & Mining 2.2% | ||
5,845,000 | Caterpillar Financial Services Corp., (Secured Overnight Financing Rate + 0.52%), 5.88%, due 5/14/2027 | 5,858,362 (c) |
Machinery - Diversified 2.0% | ||
John Deere Capital Corp. | ||
1,522,000 | (Secured Overnight Financing Rate + 0.20%), 5.55%, due 10/11/2024 | 1,521,741 (c) |
3,798,000 | (Secured Overnight Financing Rate + 0.56%), 5.91%, due 3/7/2025 | 3,807,443 (c) |
5,329,184 | ||
Media 1.4% | ||
1,415,000 | Discovery Communications LLC, 3.90%, due 11/15/2024 | 1,401,787 |
2,305,000 | Sky Ltd., 3.75%, due 9/16/2024 | 2,291,896 (b) |
3,693,683 | ||
Oil & Gas 1.2% | ||
3,230,000 | Exxon Mobil Corp., 2.71%, due 3/6/2025 | 3,164,988 |
Pharmaceuticals 3.7% | ||
AbbVie, Inc. | ||
3,575,000 | 3.85%, due 6/15/2024 | 3,571,573 |
1,020,000 | 2.60%, due 11/21/2024 | 1,005,725 |
2,140,000 | Bristol-Myers Squibb Co., (Secured Overnight Financing Rate + 0.49%), 5.85%, due 2/20/2026 | 2,149,007 (c) |
3,185,000 | Pfizer Investment Enterprises Pte. Ltd., 4.65%, due 5/19/2025 | 3,162,660 |
9,888,965 | ||
Pipelines 2.5% | ||
3,840,000 | Enterprise Products Operating LLC, 3.75%, due 2/15/2025 | 3,787,827 |
3,100,000 | Spectra Energy Partners LP, 3.50%, due 3/15/2025 | 3,047,106 |
6,834,933 | ||
Real Estate Investment Trusts 2.0% | ||
Simon Property Group LP | ||
3,525,000 | 2.00%, due 9/13/2024 | 3,489,387 |
1,765,000 | 3.38%, due 10/1/2024 | 1,751,646 |
5,241,033 | ||
Retail 1.2% | ||
3,265,000 | Lowe's Cos., Inc., 4.00%, due 4/15/2025 | 3,222,022 |
Semiconductors 3.3% | ||
6,292,000 | Analog Devices, Inc., (Secured Overnight Financing Rate Index + 0.25%), 5.61%, due 10/1/2024 | 6,293,047 (c) |
2,682,000 | Intel Corp., 3.40%, due 3/25/2025 | 2,640,346 |
8,933,393 | ||
Software 1.8% | ||
Oracle Corp. | ||
3,495,000 | 3.40%, due 7/8/2024 | 3,486,844 |
1,265,000 | 2.95%, due 11/15/2024 | 1,249,471 |
4,736,315 | ||
Telecommunications 1.8% | ||
3,030,000 | AT&T, Inc., (3 mo. USD Term SOFR + 1.44%), 6.76%, due 6/12/2024 | 3,030,808 (c) |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Principal Amount | Value | ||
Telecommunications – cont'd | |||
$1,860,000 | Verizon Communications, Inc., 3.50%, due 11/1/2024 | $1,843,556 | |
4,874,364 | |||
Total Corporate Bonds (Cost $162,356,055) | 162,537,343 | ||
Number of Shares | |||
Short-Term Investments 10.6% | |||
Investment Companies 10.6% | |||
28,389,696 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(e) (Cost $28,389,696) | 28,389,696 | |
Total Investments 93.1% (Cost $249,608,916) | 249,810,647 | ||
Other Assets Less Liabilities 6.9% | 18,433,599 (f) | ||
Net Assets 100.0% | $268,244,246 |
(a) | Rate shown was the discount rate at the date of purchase. |
(b) | Securities were purchased under Rule 144A of the Securities Act of 1933, as amended, or are otherwise restricted and, unless registered under the Securities Act of 1933 or exempted from registration, may only be sold to qualified institutional investors or may have other restrictions on resale. At May 31, 2024, these securities amounted to $36,848,877, which represents 13.7% of net assets of the Fund. |
(c) | Variable or floating rate security. The interest rate shown was the current rate as of May 31, 2024 and changes periodically. |
(d) | Security issued at a fixed coupon rate, which converts to a variable rate at a future date. Rate shown is the rate in effect as of period end. |
(e) | Represents 7-day effective yield as of May 31, 2024. |
(f) | Includes the impact of the Fund’s open positions in derivatives at May 31, 2024. |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At May 31, 2024, open positions in futures for the Fund were as follows:
Long Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
6/2024 | 241 | Primary Aluminum | $15,792,369 | $1,851,247 |
6/2024 | 133 | Zinc | 9,739,856 | 1,498,502 |
7/2024 | 307 | Brent Crude Oil | 24,827,090 | (1,333,984 ) |
7/2024 | 5 | Cocoa | 466,550 | (7,950 ) |
7/2024 | 110 | Coffee'c' | 9,171,938 | 481,344 |
7/2024 | 71 | Lead | 3,990,910 | 278,469 |
7/2024 | 41 | Platinum | 2,136,100 | 219,699 |
7/2024 | 86 | Silver | 13,089,200 | 1,965,859 |
7/2024 | 284 | Soybean | 17,111,000 | 75,296 |
7/2024 | 290 | Soybean Meal | 10,576,300 | 814,778 |
7/2024 | 273 | Soybean Oil | 7,456,176 | (628,217 ) |
7/2024 | 204 | Zinc | 15,036,993 | 2,255,024 |
8/2024 | 21 | Cattle Feeder | 2,692,200 | 9,639 |
8/2024 | 178 | Gold 100 Oz | 41,755,240 | 158,489 |
8/2024 | 164 | Live Cattle | 11,706,320 | 223,986 |
8/2024 | 217 | Primary Aluminum | 14,367,950 | 1,827,535 |
8/2024 | 197 | RBOB Gasoline | 19,575,457 | (1,362,741 ) |
9/2024 | 152 | Copper | 17,519,900 | 1,767,070 |
9/2024 | 72 | Nickel | 8,539,093 | 1,156,742 |
9/2024 | 244 | Primary Aluminum | 16,256,317 | 2,009,985 |
9/2024 | 286 | Sugar 11 | 5,858,653 | (909,752 ) |
9/2024 | 154 | Zinc | 11,463,567 | 1,688,762 |
10/2024 | 227 | Lean Hogs | 7,527,320 | (473,705 ) |
10/2024 | 316 | Natural Gas | 9,824,440 | 372,377 |
10/2024 | 94 | New York Harbor ULSD | 9,635,489 | (271,200 ) |
10/2024 | 265 | WTI Crude | 20,026,050 | (334,039 ) |
11/2024 | 72 | Low Sulphur Gasoil | 5,337,000 | (146,632 ) |
11/2024 | 70 | Nickel | 8,364,720 | 949,120 |
11/2024 | 221 | Primary Aluminum | 14,874,073 | 1,291,084 |
12/2024 | 345 | Corn | 8,055,750 | 8,995 |
12/2024 | 144 | Cotton No.2 | 5,407,920 | (534,964 ) |
12/2024 | 76 | Wheat | 2,749,300 | 382,533 |
12/2024 | 158 | Wheat | 5,859,825 | 961,720 |
Total Long Positions | $376,791,066 | $16,245,071 |
See Notes to Consolidated Schedule of Investments
Consolidated Schedule of Investments Commodity Strategy ETF^ (Unaudited) (cont’d)
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
6/2024 | 241 | Primary Aluminum | $(15,792,369 ) | $(2,119,475 ) |
6/2024 | 133 | Zinc | (9,739,856 ) | (1,349,907 ) |
7/2024 | 6 | Lead | (337,260 ) | (5,581 ) |
7/2024 | 204 | Zinc | (15,036,993 ) | (2,346,362 ) |
8/2024 | 217 | Primary Aluminum | (14,367,950 ) | (1,943,015 ) |
9/2024 | 72 | Nickel | (8,539,093 ) | (1,072,323 ) |
9/2024 | 244 | Primary Aluminum | (16,256,317 ) | (1,607,774 ) |
9/2024 | 31 | Zinc | (2,307,601 ) | (67,528 ) |
11/2024 | 4 | Nickel | (477,984 ) | (10,477 ) |
11/2024 | 26 | Primary Aluminum | (1,749,891 ) | (72,027 ) |
Total Short Positions | $(84,605,314 ) | $(10,594,469 ) | ||
Total Futures | $5,650,602 |
The following is a summary, categorized by Level (see the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $4,956,938 | $— | $4,956,938 |
Asset-Backed Securities | — | 53,926,670 | — | 53,926,670 |
Corporate Bonds# | — | 162,537,343 | — | 162,537,343 |
Short-Term Investments | — | 28,389,696 | — | 28,389,696 |
Total Investments | $— | $249,810,647 | $— | $249,810,647 |
# | The Consolidated Schedule of Investments provides information on the industry or sector categorization. |
The following is a summary, categorized by Level (see the Notes to Consolidated Schedule of Investments), of inputs used to value the Fund’s derivatives as of May 31, 2024:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures | ||||
Assets | $22,248,255 | $— | $— | $22,248,255 |
Liabilities | (16,597,653 ) | — | — | (16,597,653 ) |
Total | $5,650,602 | $— | $— | $5,650,602 |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Consolidated Schedule of Investments
Schedule of Investments Disrupters ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 97.3% | ||
Aerospace & Defense 4.2% | ||
555 | TransDigm Group, Inc. | $745,493 |
Automobile Components 1.5% | ||
10,599 | Mobileye Global, Inc. Class A* | 271,970 |
Biotechnology 3.3% | ||
4,152 | Moderna, Inc.* | 591,868 |
Broadline Retail 4.4% | ||
4,426 | Amazon.com, Inc.* | 780,923 |
Capital Markets 4.5% | ||
7,441 | Tradeweb Markets, Inc. Class A | 811,143 |
Electrical Equipment 1.5% | ||
4,792 | NEXTracker, Inc. Class A* | 264,375 |
Electronic Equipment, Instruments & Components 2.5% | ||
3,166 | Keysight Technologies, Inc.* | 438,428 |
Entertainment 3.9% | ||
2,327 | Spotify Technology SA* | 690,607 |
Ground Transportation 4.9% | ||
13,687 | Uber Technologies, Inc.* | 883,633 |
Health Care Equipment & Supplies 9.5% | ||
3,503 | Dexcom, Inc.* | 416,051 |
959 | IDEXX Laboratories, Inc.* | 476,575 |
1,988 | Intuitive Surgical, Inc.* | 799,415 |
1,692,041 | ||
Hotels, Restaurants & Leisure 3.4% | ||
17,196 | DraftKings, Inc. Class A* | 604,095 |
IT Services 2.0% | ||
1,489 | MongoDB, Inc.* | 351,493 |
Number of Shares | Value | |
Pharmaceuticals 4.7% | ||
1,029 | Eli Lilly & Co. | $844,130 |
Semiconductors & Semiconductor Equipment 31.7% | ||
5,607 | Advanced Micro Devices, Inc.* | 935,808 |
861 | ASML Holding NV | 826,861 |
901 | Monolithic Power Systems, Inc. | 662,803 |
3,308 | Nova Ltd.* | 690,214 |
1,583 | NVIDIA Corp. | 1,735,491 |
3,674 | Onto Innovation, Inc.* | 796,156 |
5,647,333 | ||
Software 15.3% | ||
1,180 | Intuit, Inc. | 680,199 |
1,586 | Microsoft Corp. | 658,396 |
1,739 | Palo Alto Networks, Inc.* | 512,849 |
5,106 | Procore Technologies, Inc.* | 342,766 |
812 | ServiceNow, Inc.* | 533,427 |
2,727,637 | ||
Total Common Stocks (Cost $13,859,782) | 17,345,169 | |
Short-Term Investments 2.7% | ||
Investment Companies 2.7% | ||
491,142 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(a) (Cost $491,142) | 491,142 |
Total Investments 100.0% (Cost $14,350,924) | 17,836,311 | |
Liabilities Less Other Assets (0.0)%(b) | (3,953 ) | |
Net Assets 100.0% | $17,832,358 |
* | Non-income producing security. |
(a) | Represents 7-day effective yield as of May 31, 2024. |
(b) | Represents less than 0.05% of net assets of the Fund. |
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $15,556,124 | 87.2% |
Israel | 962,184 | 5.4% |
Netherlands | 826,861 | 4.7% |
Short-Term Investments and Other Liabilities—Net | 487,189 | 2.7% |
$17,832,358 | 100.0% |
See Notes to Schedule of Investments
Schedule of Investments Disrupters ETF^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks# | $17,345,169 | $— | $— | $17,345,169 |
Short-Term Investments | — | 491,142 | — | 491,142 |
Total Investments | $17,345,169 | $491,142 | $— | $17,836,311 |
# | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Global Real Estate ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 100.0% | ||
Australia 6.3% | ||
35,640 | Charter Hall Retail REIT | $77,919 |
3,473 | Goodman Group | 78,054 |
21,222 | GPT Group | 59,534 |
64,192 | Region RE Ltd. | 91,508 |
21,170 | Stockland | 63,792 |
370,807 | ||
Belgium 3.7% | ||
2,107 | Shurgard Self Storage Ltd. | 93,078 |
4,375 | Warehouses De Pauw CVA | 128,229 |
221,307 | ||
Canada 5.5% | ||
2,622 | Brookfield Corp. Class A | 114,175 |
2,970 | Canadian Apartment Properties REIT | 97,188 |
8,776 | RioCan REIT | 111,330 |
322,693 | ||
France 1.8% | ||
1,183 | Unibail-Rodamco-Westfield | 104,234 |
Germany 1.6% | ||
2,979 | Vonovia SE | 93,647 |
Hong Kong 3.1% | ||
8,900 | Link REIT | 37,526 |
15,269 | Sun Hung Kai Properties Ltd. | 147,537 |
185,063 | ||
Japan 7.9% | ||
61 | Comforia Residential REIT, Inc. | 124,848 |
7,100 | Mitsui Fudosan Co. Ltd. | 65,228 |
62 | Nippon Prologis REIT, Inc. | 102,340 |
4,500 | Nomura Real Estate Holdings, Inc. | 116,020 |
1,900 | Sumitomo Realty & Development Co. Ltd. | 59,494 |
467,930 | ||
Singapore 3.1% | ||
49,800 | Mapletree Pan Asia Commercial Trust | 45,176 |
34,800 | UOL Group Ltd. | 139,305 |
184,481 | ||
Spain 2.9% | ||
2,926 | Cellnex Telecom SA(a) | 106,887 |
9,521 | Inmobiliaria Colonial Socimi SA | 64,592 |
171,479 | ||
United Kingdom 5.1% | ||
35,201 | Grainger PLC | 112,742 |
8,186 | Segro PLC | 96,131 |
7,828 | UNITE Group PLC | 93,371 |
302,244 |
Number of Shares | Value | |
United States 59.0% | ||
2,529 | American Healthcare REIT, Inc. | $37,075 |
1,654 | American Tower Corp. | 323,754 |
1,099 | AvalonBay Communities, Inc. | 211,755 |
1,226 | Camden Property Trust | 125,849 |
718 | Crown Castle, Inc. | 73,595 |
515 | Digital Realty Trust, Inc. | 74,850 |
333 | Equinix, Inc. | 254,072 |
993 | Equity LifeStyle Properties, Inc. | 62,331 |
927 | Extra Space Storage, Inc. | 134,202 |
539 | Federal Realty Investment Trust | 54,412 |
1,396 | Gaming & Leisure Properties, Inc. | 62,680 |
11,924 | Hudson Pacific Properties, Inc. | 58,547 |
1,882 | Invitation Homes, Inc. | 65,475 |
1,729 | Iron Mountain, Inc. | 139,513 |
3,163 | Kimco Realty Corp. | 61,236 |
3,389 | Macerich Co. | 51,242 |
1,815 | Omega Healthcare Investors, Inc. | 58,679 |
2,350 | Prologis, Inc. | 259,651 |
851 | Public Storage | 233,029 |
2,387 | Realty Income Corp. | 126,654 |
2,703 | Retail Opportunity Investments Corp. | 33,842 |
1,184 | Rexford Industrial Realty, Inc. | 53,706 |
581 | SBA Communications Corp. | 114,271 |
1,099 | Simon Property Group, Inc. | 166,290 |
1,127 | Sun Communities, Inc. | 132,975 |
2,258 | UDR, Inc. | 87,204 |
2,303 | Ventas, Inc. | 115,749 |
2,346 | VICI Properties, Inc. | 67,354 |
1,596 | Welltower, Inc. | 165,457 |
2,670 | Weyerhaeuser Co. | 80,180 |
3,485,629 | ||
Total Common Stocks (Cost $5,717,776) | 5,909,514 | |
Short-Term Investments 0.7% | ||
Investment Companies 0.7% | ||
43,478 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(b) (Cost $43,478) | 43,478 |
Total Investments 100.7% (Cost $5,761,254) | 5,952,992 | |
Liabilities Less Other Assets (0.7)% | (43,848 ) | |
Net Assets 100.0% | $5,909,144 |
See Notes to Schedule of Investments
Schedule of Investments Global Real Estate ETF^ (Unaudited) (cont’d)
(a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at May 31, 2024 amounted to $106,887, which represents 1.8% of net assets of the Fund. |
(b) | Represents 7-day effective yield as of May 31, 2024. |
POSITIONS BY SECTOR | ||
Sector | Investments at Value | Percentage of Net Assets |
Specialty REITs | $2,067,071 | 35.0 % |
Residential REITs | 1,064,788 | 18.0 % |
Retail REITs | 916,193 | 15.5 % |
Real Estate Holding & Development | 848,148 | 14.4 % |
Industrial & Office REITs | 763,196 | 12.9 % |
Diversified REITs | 182,764 | 3.1 % |
Hotel & Lodging REITs | 67,354 | 1.1 % |
Short-Term Investments and Other Liabilities-Net | (370 ) | (0.0 )%(a) |
Total | $5,909,144 | 100.0 % |
(a) | Represents less than 0.05% of net assets of the Fund. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Australia | $— | $370,807 | $— | $370,807 |
Belgium | — | 221,307 | — | 221,307 |
France | — | 104,234 | — | 104,234 |
Germany | — | 93,647 | — | 93,647 |
Hong Kong | — | 185,063 | — | 185,063 |
Japan | — | 467,930 | — | 467,930 |
Singapore | — | 184,481 | — | 184,481 |
Spain | — | 171,479 | — | 171,479 |
United Kingdom | — | 302,244 | — | 302,244 |
Other Common Stocks# | 3,808,322 | — | — | 3,808,322 |
Total Common Stocks | 3,808,322 | 2,101,192 | — | 5,909,514 |
Short-Term Investments | — | 43,478 | — | 43,478 |
Total Investments | $3,808,322 | $2,144,670 | $— | $5,952,992 |
# | The Schedule of Investments provides a geographic categorization as well as a Positions by Sector summary. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Next Generation Connected Consumer ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 96.1% | ||
Aerospace & Defense 2.0% | ||
709 | General Electric Co. | $117,084 |
Beverages 6.2% | ||
70,688 | Becle SAB de CV | 130,073 |
6,542 | Keurig Dr Pepper, Inc. | 224,063 |
354,136 | ||
Consumer Staples Distribution & Retail 5.6% | ||
1,686 | Dollar Tree, Inc.* | 198,864 |
1,863 | Walmart, Inc. | 122,511 |
321,375 | ||
Entertainment 5.9% | ||
179 | Netflix, Inc.* | 114,850 |
755 | Spotify Technology SA* | 224,069 |
338,919 | ||
Food Products 2.1% | ||
3,157 | Simply Good Foods Co.* | 121,513 |
Health Care Equipment & Supplies 3.8% | ||
969 | EssilorLuxottica SA | 217,302 |
Hotels, Restaurants & Leisure 21.5% | ||
4,485 | Basic-Fit NV*(a)(b) | 110,477 |
16,134 | Carnival Corp.* | 243,301 |
20 | Chipotle Mexican Grill, Inc.* | 62,590 |
5,946 | Cie des Alpes | 103,711 |
1,948 | DraftKings, Inc. Class A* | 68,433 |
18,705 | eDreams ODIGEO SA* | 143,898 |
4,455 | Las Vegas Sands Corp. | 200,609 |
700 | McDonald's Corp. | 181,223 |
22,858 | Soho House & Co., Inc.*(a) | 117,033 |
1,231,275 | ||
Insurance 4.6% | ||
1,178 | Allstate Corp. | 197,338 |
39,000 | ZhongAn Online P&C Insurance Co. Ltd. Class H*(b) | 66,572 |
263,910 | ||
Interactive Media & Services 6.5% | ||
1,037 | Alphabet, Inc. Class C* | 180,396 |
3,885 | Match Group, Inc.* | 118,998 |
Number of Shares | Value | |
Interactive Media & Services – cont'd | ||
5,090 | Snap, Inc. Class A* | $76,452 |
375,846 | ||
IT Services 3.6% | ||
1,278 | Wix.com Ltd.* | 205,886 |
Specialty Retail 18.1% | ||
4,860 | Aritzia, Inc.* | 121,415 |
2,108 | Beyond, Inc.* | 31,894 |
555 | Home Depot, Inc. | 185,853 |
1,591 | TJX Cos., Inc. | 164,032 |
133,000 | Topsports International Holdings Ltd.(b) | 86,811 |
541 | Ulta Beauty, Inc.* | 213,744 |
13,167 | Warby Parker, Inc. Class A* | 233,187 |
1,036,936 | ||
Textiles, Apparel & Luxury Goods 8.8% | ||
175 | Kering SA | 60,500 |
2,584 | Moncler SpA | 172,429 |
2,858 | NIKE, Inc. Class B | 271,653 |
504,582 | ||
Tobacco 3.9% | ||
2,232 | Philip Morris International, Inc. | 226,280 |
Wireless Telecommunication Services 3.5% | ||
1,132 | T-Mobile U.S., Inc. | 198,055 |
Total Common Stocks (Cost $5,295,848) | 5,513,099 | |
Short-Term Investments 3.9% | ||
Investment Companies 3.9% | ||
219,193 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(c) | 219,193 |
6,518 | State Street Navigator Securities Lending Government Money Market Portfolio, 5.33%(c)(d) | 6,518 |
Total Short-Term Investments (Cost $225,711) | 225,711 | |
Total Investments 100.0% (Cost $5,521,559) | 5,738,810 | |
Other Assets Less Liabilities 0.0%(e) | 524 | |
Net Assets 100.0% | $5,739,334 |
* | Non-income producing security. |
(a) | All or a portion of this security is on loan at May 31, 2024. Total value of all such securities at May 31, 2024 amounted to $119,913, collateralized by cash collateral of $6,518 and non-cash (U.S. Treasury Securities) collateral of $116,177 for the Fund. |
See Notes to Schedule of Investments
Schedule of Investments Next Generation Connected Consumer ETF^ (Unaudited) (cont’d)
(b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve directed selling efforts in the United States and as such may have restrictions on resale. Total value of all such securities at May 31, 2024 amounted to $263,860, which represents 4.6% of net assets of the Fund. |
(c) | Represents 7-day effective yield as of May 31, 2024. |
(d) | Represents investment of cash collateral received from securities lending. |
(e) | Represents less than 0.05% of net assets of the Fund. |
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $3,976,992 | 69.3% |
France | 381,513 | 6.7% |
Israel | 205,886 | 3.6% |
Italy | 172,429 | 3.0% |
China | 153,383 | 2.7% |
Spain | 143,898 | 2.5% |
Mexico | 130,073 | 2.3% |
Canada | 121,415 | 2.1% |
United Kingdom | 117,033 | 2.0% |
Netherlands | 110,477 | 1.9% |
Short-Term Investments and Other Assets—Net | 226,235 | 3.9% |
$5,739,334 | 100.0% |
See Notes to Schedule of Investments
Schedule of Investments Next Generation Connected Consumer ETF^ (Unaudited) (cont’d)
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks | ||||
Health Care Equipment & Supplies | $— | $217,302 | $— | $217,302 |
Hotels, Restaurants & Leisure | 1,017,087 | 214,188 | — | 1,231,275 |
Insurance | 197,338 | 66,572 | — | 263,910 |
Specialty Retail | 950,125 | 86,811 | — | 1,036,936 |
Textiles, Apparel & Luxury Goods | 271,653 | 232,929 | — | 504,582 |
Other Common Stocks# | 2,259,094 | — | — | 2,259,094 |
Total Common Stocks | 4,695,297 | 817,802 | — | 5,513,099 |
Short-Term Investments | — | 225,711 | — | 225,711 |
Total Investments | $4,695,297 | $1,043,513 | $— | $5,738,810 |
# | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Option Strategy ETF^ (Unaudited) May 31, 2024
Principal Amount | Value | |
U.S. Treasury Obligations 94.0% | ||
U.S. Treasury Notes | ||
$113,800,000 | 0.25%, due 6/15/2024 | $113,609,817 |
83,100,000 | 0.38%, due 9/15/2024 | 81,939,522 |
53,800,000 | 1.00%, due 12/15/2024 | 52,594,228 |
54,300,000 | 1.75%, due 3/15/2025 | 52,861,074 |
50,000,000 | 2.88%, due 6/15/2025 | 48,846,192 |
53,100,000 | 3.50%, due 9/15/2025 | 52,052,520 |
35,000,000 | 4.00%, due 12/15/2025 | 34,475,000 |
Total U.S. Treasury Obligations (Cost $436,981,502) | 436,378,353 | |
Number of Shares | ||
Short-Term Investments 6.2% | ||
Investment Companies 6.2% | ||
28,685,941 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(a) (Cost $28,685,941) | 28,685,941 |
Total Investments 100.2% (Cost $465,667,443) | 465,064,294 | |
Liabilities Less Other Assets (0.2)% | (1,096,170 )(b) | |
Net Assets 100.0% | $463,968,124 |
(a) | Represents 7-day effective yield as of May 31, 2024. |
(b) | Includes the impact of the Fund’s open positions in derivatives at May 31, 2024. |
See Notes to Schedule of Investments
Schedule of Investments Option Strategy ETF^ (Unaudited) (cont’d)
Derivative Instruments
Written option contracts ("options written")
At May 31, 2024, the Fund had outstanding options written as follows:
Description | Number of Contracts | Notional Amount | Exercise Price | Expiration Date | Value |
Puts | |||||
Index | |||||
S&P 500 Index | 7 | $(3,694,257) | $5,170 | 6/7/2024 | $(2,345) |
S&P 500 Index | 3 | (1,583,253) | 5,185 | 6/7/2024 | (1,365) |
S&P 500 Index | 100 | (52,775,100) | 5,190 | 6/7/2024 | (52,000) |
S&P 500 Index | 52 | (27,443,052) | 5,210 | 6/7/2024 | (39,000) |
S&P 500 Index | 54 | (28,498,554) | 5,220 | 6/7/2024 | (48,600) |
S&P 500 Index | 1 | (527,751) | 5,280 | 6/7/2024 | (2,575) |
S&P 500 Index | 5 | (2,638,755) | 5,285 | 6/7/2024 | (13,875) |
S&P 500 Index | 2 | (1,055,502) | 5,290 | 6/7/2024 | (6,000) |
S&P 500 Index | 25 | (13,193,775) | 5,220 | 6/14/2024 | (58,000) |
S&P 500 Index | 4 | (2,111,004) | 5,225 | 6/14/2024 | (9,760) |
S&P 500 Index | 47 | (24,804,297) | 5,295 | 6/14/2024 | (227,480) |
S&P 500 Index | 94 | (49,608,594) | 5,300 | 6/14/2024 | (477,050) |
S&P 500 Index | 50 | (26,387,550) | 5,305 | 6/14/2024 | (265,250) |
S&P 500 Index | 1 | (527,751) | 5,270 | 6/21/2024 | (4,275) |
S&P 500 Index | 1 | (527,751) | 5,295 | 6/21/2024 | (5,250) |
S&P 500 Index | 6 | (3,166,506) | 5,305 | 6/21/2024 | (34,140) |
S&P 500 Index | 203 | (107,133,453) | 5,310 | 6/21/2024 | (1,204,805) |
S&P 500 Index | 8 | (4,222,008) | 5,315 | 6/21/2024 | (49,440) |
S&P 500 Index | 220 | (116,105,220) | 5,215 | 6/28/2024 | (752,400) |
S&P 500 Index | 3 | (1,583,253) | 5,300 | 6/28/2024 | (18,375) |
Total options written (premium received $4,948,302) | $(3,271,985) |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $436,378,353 | $— | $436,378,353 |
Short-Term Investments | — | 28,685,941 | — | 28,685,941 |
Total Investments | $— | $465,064,294 | $— | $465,064,294 |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s derivatives as of May 31, 2024:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Options Written | ||||
Liabilities | $(3,271,985 ) | $— | $— | $(3,271,985 ) |
Total | $(3,271,985 ) | $— | $— | $(3,271,985 ) |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
Schedule of Investments Small-Mid Cap ETF^ (Unaudited) May 31, 2024
Number of Shares | Value | |
Common Stocks 98.4% | ||
Banks 4.3% | ||
59,782 | Community Financial System, Inc. | $2,717,690 |
24,691 | Cullen/Frost Bankers, Inc. | 2,508,112 |
35,894 | Prosperity Bancshares, Inc. | 2,236,196 |
7,461,998 | ||
Building Products 1.3% | ||
13,904 | Simpson Manufacturing Co., Inc. | 2,306,952 |
Commercial Services & Supplies 4.4% | ||
53,978 | Rollins, Inc. | 2,466,255 |
24,386 | Tetra Tech, Inc. | 5,108,623 |
7,574,878 | ||
Construction & Engineering 2.5% | ||
16,988 | Valmont Industries, Inc. | 4,270,783 |
Construction Materials 3.6% | ||
27,126 | Eagle Materials, Inc. | 6,303,811 |
Containers & Packaging 2.7% | ||
31,236 | AptarGroup, Inc. | 4,613,245 |
Distributors 2.3% | ||
10,960 | Pool Corp. | 3,984,508 |
Electronic Equipment, Instruments & Components 2.2% | ||
14,796 | Littelfuse, Inc. | 3,796,654 |
Energy Equipment & Services 3.2% | ||
53,926 | Tidewater, Inc.* | 5,572,174 |
Health Care Equipment & Supplies 2.5% | ||
50,578 | Haemonetics Corp.* | 4,252,598 |
Health Care Providers & Services 2.5% | ||
7,946 | Chemed Corp. | 4,405,024 |
Hotels, Restaurants & Leisure 1.8% | ||
18,084 | Texas Roadhouse, Inc. | 3,122,564 |
Household Products 1.6% | ||
26,030 | Church & Dwight Co., Inc. | 2,785,470 |
Insurance 4.7% | ||
24,660 | RLI Corp. | 3,599,867 |
80,556 | Ryan Specialty Holdings, Inc. | 4,473,275 |
8,073,142 | ||
Life Sciences Tools & Services 6.0% | ||
46,176 | Bio-Techne Corp. | 3,564,326 |
11,176 | ICON PLC* | 3,630,188 |
Number of Shares | Value | |
Life Sciences Tools & Services – cont'd | ||
9,864 | West Pharmaceutical Services, Inc. | $3,269,028 |
10,463,542 | ||
Machinery 14.0% | ||
42,470 | Graco, Inc. | 3,429,452 |
38,086 | ITT, Inc. | 5,060,868 |
17,810 | Lincoln Electric Holdings, Inc. | 3,497,172 |
14,212 | Nordson Corp. | 3,335,841 |
17,262 | RBC Bearings, Inc.* | 5,097,123 |
47,950 | Toro Co. | 3,845,110 |
24,265,566 | ||
Marine Transportation 4.0% | ||
55,896 | Kirby Corp.* | 6,940,606 |
Media 1.9% | ||
19,728 | Nexstar Media Group, Inc. Class A | 3,268,732 |
Oil, Gas & Consumable Fuels 3.1% | ||
111,450 | CNX Resources Corp.* | 2,931,135 |
107,408 | Sitio Royalties Corp. Class A | 2,516,570 |
5,447,705 | ||
Professional Services 0.0%(a) | ||
227 | Exponent, Inc. | 21,592 |
Real Estate Management & Development 1.5% | ||
17,536 | FirstService Corp. | 2,579,896 |
Semiconductors & Semiconductor Equipment 8.4% | ||
26,030 | Entegris, Inc. | 3,288,890 |
64,938 | Lattice Semiconductor Corp.* | 4,820,997 |
22,334 | MKS Instruments, Inc. | 2,827,261 |
47,363 | Power Integrations, Inc. | 3,600,062 |
14,537,210 | ||
Software 11.5% | ||
12,401 | Aspen Technology, Inc.* | 2,612,271 |
37,812 | Bentley Systems, Inc. Class B | 1,899,675 |
3,881 | Fair Isaac Corp.* | 5,006,218 |
25,208 | Qualys, Inc.* | 3,544,749 |
15,618 | SPS Commerce, Inc.* | 2,937,590 |
8,220 | Tyler Technologies, Inc.* | 3,948,559 |
19,949,062 | ||
Specialty Retail 3.9% | ||
19,728 | Floor & Decor Holdings, Inc. Class A* | 2,305,414 |
15,615 | Tractor Supply Co. | 4,454,803 |
6,760,217 | ||
Trading Companies & Distributors 4.5% | ||
43,711 | Core & Main, Inc. Class A* | 2,516,005 |
See Notes to Schedule of Investments
Schedule of Investments Small-Mid Cap ETF^ (Unaudited) (cont’d)
Number of Shares | Value | |
Trading Companies & Distributors – cont'd | ||
11,234 | Watsco, Inc. | $5,335,027 |
7,851,032 | ||
Total Common Stocks (Cost $172,112,673) | 170,608,961 | |
Short-Term Investments 1.6% | ||
Investment Companies 1.6% | ||
2,839,777 | State Street Institutional Treasury Money Market Fund Premier Class, 5.24%(b) (Cost $2,839,777) | 2,839,777 |
Total Investments 100.0% (Cost $174,952,450) | 173,448,738 | |
Liabilities Less Other Assets (0.0)%(a) | (73,339 ) | |
Net Assets 100.0% | $173,375,399 |
* | Non-income producing security. |
(a) | Represents less than 0.05% of net assets of the Fund. |
(b) | Represents 7-day effective yield as of May 31, 2024. |
The following is a summary, categorized by Level (see the Notes to Schedule of Investments), of inputs used to value the Fund’s investments as of May 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Common Stocks# | $170,608,961 | $— | $— | $170,608,961 |
Short-Term Investments | — | 2,839,777 | — | 2,839,777 |
Total Investments | $170,608,961 | $2,839,777 | $— | $173,448,738 |
# | The Schedule of Investments provides information on the industry or sector categorization. |
^ A balance indicated with a "—", reflects either a zero balance or an amount that rounds to less than 1.
See Notes to Schedule of Investments
May 31, 2024
Notes to Schedule of Investments ETF Trustß (Unaudited)
In accordance with Accounting Standards Codification 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Carbon Transition & Infrastructure ETF, Neuberger Berman China Equity ETF, Neuberger Berman Commodity Strategy ETF ("Commodity Strategy"), Neuberger Berman Disrupters ETF, Neuberger Berman Global Real Estate ETF, Neuberger Berman Next Generation Connected Consumer ETF, Neuberger Berman Option Strategy ETF and Neuberger Berman Small-Mid Cap ETF (each individually a "Fund," and collectively, the "Funds") are carried at the value that Management believes a Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Funds' investments, some of which are discussed below. At times, Management may need to apply significant judgment to value investments in accordance with ASC 820.
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
•
Level 1 – unadjusted quoted prices in active markets for identical investments
•
Level 2 – other observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
•
Level 3 – unobservable inputs (including a Fund's own assumptions in determining the fair value of investments)
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
The value of the Funds’ investments in equity securities, rights and exchange-traded options written, for which market quotations are available, is generally determined by Management by obtaining valuations from independent pricing services based on the latest sale price quoted on a principal exchange or market for that security (Level 1 inputs). Securities traded primarily on the NASDAQ Stock Market are normally valued at the NASDAQ Official Closing Price ("NOCP") provided by NASDAQ each business day. The NOCP is the most recently reported price as of 4:00:02 p.m., Eastern Time, unless that price is outside the range of the "inside" bid and asked prices (i.e., the bid and asked prices that dealers quote to each other when trading for their own accounts); in that case, NASDAQ will adjust the price to equal the inside bid or asked price, whichever is closer. Because of delays in reporting trades, the NOCP may not be based on the price of the last trade to occur before the market closes. If there is no sale of a security on a particular day, the independent pricing services may value the security based on market quotations.
The value of the Funds’ investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on bid quotations, or if quotations are not available, by methods that include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type, indications as to values from dealers, and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by independent pricing services to value certain types of debt securities held by the Funds:
Corporate Bonds. Inputs used to value corporate debt securities generally include relevant credit information, observed market movements, sector news, U.S. Treasury yield curve or relevant benchmark curve, and other market information, which may include benchmark yield curves, reported trades, broker-dealer quotes, issuer spreads, comparable securities, and reference data, such as market research publications, when available ("Other Market Information").
U.S. Treasury Obligations. Inputs used to value U.S. Treasury securities generally include quotes from several inter-dealer brokers and Other Market Information.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Commodity Strategy
Notes to Schedule of Investments ETF Trustß (Unaudited) (cont’d)
Asset-Backed Securities. Inputs used to value asset-backed securities generally include models that consider several factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
The value of futures contracts is determined by Management by obtaining valuations from independent pricing services at the settlement price at the market close (Level 1 inputs).
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
Investments in non-exchange traded investment companies are valued using the respective fund’s daily calculated net asset value per share (Level 2 inputs), when available.
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount a Fund might reasonably expect to receive on a current sale in an orderly transaction, Management seeks to obtain quotations from brokers or dealers (generally considered Level 2 or Level 3 inputs depending on the number of quotes available). If such quotations are not available, the security is valued using methods Management has approved in the good-faith belief that the resulting valuation will reflect the fair value of the security. Pursuant to Rule 2a-5 under the Investment Company Act of 1940, as amended, the Funds' Board of Trustees designated Management as the Funds' valuation designee. As the Funds' valuation designee, Management is responsible for determining fair value in good faith for all Fund investments. Inputs and assumptions considered in determining fair value of a security based on Level 2 or Level 3 inputs may include, but are not limited to, the type of security; the initial cost of the security; the existence of any contractual restrictions on the security's disposition; the price and extent of public trading in similar securities of the issuer or of comparable companies; quotations or evaluated prices from broker-dealers or pricing services; information obtained from the issuer and analysts; an analysis of the company's or issuer's financial statements; an evaluation of the inputs that influence the issuer and the market(s) in which the security is purchased and sold.
The value of the Funds’ investments in foreign securities is generally determined using the same valuation methods and inputs as other Fund investments, as discussed above. Foreign security prices expressed in local currency values are normally translated from the local currency into U.S. dollars using the exchange rates as of 4:00 p.m., Eastern Time, on days the New York Stock Exchange is open for business. Management has approved the use of ICE Data Services ("ICE") to assist in determining the fair value of foreign equity securities when changes in the value of a certain index suggest that the closing prices on the foreign exchanges may no longer represent the amount that a Fund could expect to receive for those securities or when foreign markets are closed and U.S. markets are open. In each of these events, ICE will provide adjusted prices for certain foreign equity securities using a statistical analysis of historical correlations of multiple factors (Level 2 inputs). Management has also approved the use of ICE to evaluate the prices of foreign debt securities as of the time at which a Fund’s share price is calculated. ICE utilizes benchmark spread and yield curves and evaluates available market activity from the local close to the time as of which a Fund’s share price is calculated (Level 2 inputs) to assist in determining prices for certain foreign debt securities. In the case of both foreign equity and foreign debt securities, in the absence of precise information about the market values of these foreign securities as of the time at which a Fund’s share price is calculated, Management has determined based on available data that prices adjusted or evaluated in this way are likely to be closer to the prices a Fund could realize on a current sale than the prices of those securities established at the close of the foreign markets in which the securities primarily trade.
Fair value prices are necessarily estimates, and there is no assurance that such a price will be at or close to the price at which the security is next quoted or traded.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Commodity Strategy
Notes to Schedule of Investments ETF Trustß (Unaudited) (cont’d)
Commodity Strategy invests in commodity-related instruments through Neuberger Berman Cayman Commodity Fund I Ltd. (the "CS Subsidiary"), which is organized under the laws of the Cayman Islands. Commodity Strategy ETF is and expects to remain the sole shareholder of the CS Subsidiary. The CS Subsidiary is governed by its own Board of Directors.
As of May 31, 2024, the value of Commodity Strategy's investment in the CS Subsidiary was as follows:
Investment in CS Subsidiary | Percentage of Net Assets | |
$42,718,840 | 15.9 % |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Commodity Strategy
Notes to Schedule of Investments ETF Trustß (Unaudited) (cont'd)
Legend
Indexes: | |
SOFR | = Secured Overnight Financing Rate |
Other Abbreviations: | |
JSC | = Joint Stock Company |
Management | = Neuberger Berman Investment Advisers LLC |
Currency Abbreviations: | |
USD | = United States Dollar |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
ßNotes to Consolidated Schedule of Investments for Commodity Strategy