Schedule of Investments Flexible Credit Income ETF^ (Unaudited) July 31, 2024
Principal Amount | Value | |||
U.S. Treasury Obligations 21.6% | ||||
U.S. Treasury Bills | ||||
$ | 8,000,000 | 5.22%, due 10/22/2024 | $7,906,183 (a) | |
3,400,000 | 5.09%, due 12/26/2024 | 3,331,818 (a) | ||
Total U.S. Treasury Obligations (Cost $11,234,280) | 11,238,001 | |||
Mortgage-Backed Securities 3.3% | ||||
Collateralized Mortgage Obligations 1.6% | ||||
Federal Home Loan Mortgage Corp. STACR REMIC Trust | ||||
130,000 | Series 2022-HQA1, Class B1, (30 day USD SOFR Average + 7.00%), 12.35%, due 3/25/2042 | 145,161 (b)(c) | ||
135,000 | Series 2022-DNA3, Class B1, (30 day USD SOFR Average + 5.65%), 11.00%, due 4/25/2042 | 146,392 (b)(c) | ||
140,000 | Series 2021-DNA1, Class B1, (30 day USD SOFR Average + 2.65%), 8.00%, due 1/25/2051 | 148,750 (b)(c) | ||
Federal National Mortgage Association Connecticut Avenue Securities | ||||
145,000 | Series 2020-R02, Class 2B1, (30 day USD SOFR Average + 3.11%), 8.46%, due 1/25/2040 | 149,236 (b)(c) | ||
135,000 | Series 2023-R05, Class 1B1, (30 day USD SOFR Average + 4.75%), 10.10%, due 6/25/2043 | 146,242 (b)(c) | ||
97,441 | Verus Securitization Trust, Series 2024-4, Class A2, 6.57%, due 6/25/2069 | 98,672 (b) | ||
834,453 | ||||
Commercial Mortgage-Backed 1.7% | ||||
BANK | ||||
75,000 | Series 2023-BNK45, Class C, 6.28%, due 2/15/2056 | 75,765 (d) | ||
75,000 | Series 2024-BNK47, Class C, 6.61%, due 6/15/2057 | 78,171 (d) | ||
75,000 | BANK5, Series 2024-5YR7, Class B, 6.94%, due 6/15/2057 | 78,244 | ||
BX Trust | ||||
100,000 | Series VLT4, Class E, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 7/15/2029 | 99,829 (b)(c) | ||
75,000 | Series 2024-BIO, Class B, (1 mo. USD Term SOFR + 1.94%), 7.27%, due 2/15/2041 | 74,531 (b)(c) | ||
78,000 | COMM Mortgage Trust, Series 2024-277P, Class B, 7.23%, due 8/10/2044 | 79,739 (b)(d)(e) | ||
60,000 | CONE Trust, Series 2024-DFW1, Class D, (1 mo. USD Term SOFR + 3.04%), 8.34%, due 8/15/2026 | 59,869 (b)(c) | ||
100,000 | Morgan Stanley Capital I Trust, Series 2021-230P, Class B, (1 mo. USD Term SOFR + 1.56%), 6.89%, due 12/15/2038 | 93,657 (b)(c) | ||
73,045 | One Market Plaza Trust, Series 2017-1MKT, Class A, 3.61%, due 2/10/2032 | 65,756 (b) | ||
100,000 | ONE Mortgage Trust, Series 2021-PARK, Class D, (1 mo. USD Term SOFR + 1.61%), 6.94%, due 3/15/2036 | 94,288 (b)(c) | ||
100,000 | Wells Fargo Commercial Mortgage Trust, Series 2024-1CHI, Class D, 6.71%, due 7/15/2035 | 99,643 (b)(d) | ||
899,492 | ||||
Total Mortgage-Backed Securities (Cost $1,733,337) | 1,733,945 | |||
Asset-Backed Securities 11.6% | ||||
1,250,000 | AGL CLO 33 Ltd., Series 2024-33A, Class E, (3 mo. USD Term SOFR + 5.50%), 10.70%, due 7/21/2037 | 1,250,217 (b)(c)(e) | ||
1,250,000 | Ballyrock CLO 27 Ltd., Series 2024-27A, Class C1, (3 mo. USD Term SOFR + 2.90%), 8.10%, due 10/25/2037 | 1,250,000 (b)(c)(e) | ||
96,547 | Business Jet Securities LLC, Series 2024-1A, Class A, 6.20%, due 5/15/2039 | 98,151 (b) | ||
98,266 | COLT Mortgage Loan Trust, Series 2024-INV2, Class A1, 6.42%, due 5/25/2069 | 99,855 (b) | ||
50,000 | Frontier Issuer LLC, Series 2023-1, Class A2, 6.60%, due 8/20/2053 | 50,900 (b) | ||
62,095 | JP Morgan Mortgage Trust, Series 2024-HE2, Class A1, (30 day USD SOFR Average + 1.20%), 6.54%, due 10/20/2054 | 62,129 (b)(c) | ||
100,000 | MetroNet Infrastructure Issuer LLC, Series 2024-1A, Class A2, 6.23%, due 4/20/2054 | 102,544 (b) | ||
Sierra Timeshare Receivables Funding LLC | ||||
65,168 | Series 2023-3A, Class C, 7.12%, due 9/20/2040 | 66,484 (b) | ||
100,000 | Series 2024-2A, Class C, 5.83%, due 6/20/2041 | 100,430 (b) |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Asset-Backed Securities – cont'd | ||||
$ | 100,000 | Sotheby's Artfi Master Trust, Series 2024-1A, Class A1, 6.43%, due 12/22/2031 | $101,054 (b) | |
100,000 | Subway Funding LLC, Series 2024-1A, Class A2I, 6.03%, due 7/30/2054 | 102,359 (b) | ||
1,250,000 | Symphony CLO 45 Ltd., Series 2024-45A, Class E, (3 mo. USD Term SOFR + 5.75%), 5.75%, due 10/15/2037 | 1,250,000 (b)(c)(e) | ||
97,500 | TIF Funding III LLC, Series 2024-1A, Class C, 6.31%, due 4/20/2049 | 98,840 (b) | ||
1,250,000 | Wellington Management CLO 3 Ltd., Series 2024-3A, Class D1, (3.00% - 3 mo. USD Term SOFR), 1.00%, due 7/18/2037 | 1,250,000 (b)(c)(e) | ||
Ziply Fiber Issuer LLC | ||||
50,000 | Series 2024-1A, Class A2, 6.64%, due 4/20/2054 | 51,546 (b) | ||
75,000 | Series 2024-1A, Class B, 7.81%, due 4/20/2054 | 77,724 (b) | ||
Total Asset-Backed Securities (Cost $6,003,431) | 6,012,233 | |||
Corporate Bonds 58.2% | ||||
Advertising 0.8% | ||||
260,000 | Clear Channel Outdoor Holdings, Inc., 9.00%, due 9/15/2028 | 276,073 (b) | ||
160,000 | Neptune Bidco U.S., Inc., 9.29%, due 4/15/2029 | 156,699 (b) | ||
432,772 | ||||
Aerospace & Defense 1.6% | ||||
300,000 | Boeing Co., 3.63%, due 2/1/2031 | 269,152 | ||
170,000 | Bombardier, Inc., 7.25%, due 7/1/2031 | 175,009 (b) | ||
365,000 | TransDigm, Inc., 6.75%, due 8/15/2028 | 372,016 (b) | ||
816,177 | ||||
Airlines 0.4% | ||||
225,000 | American Airlines, Inc./AAdvantage Loyalty IP Ltd., 5.75%, due 4/20/2029 | 219,871 (b) | ||
Auto Manufacturers 1.0% | ||||
235,000 | Ford Motor Credit Co. LLC, 7.20%, due 6/10/2030 | 251,203 | ||
240,000 | General Motors Financial Co., Inc., 5.80%, due 6/23/2028 | 246,383 | ||
497,586 | ||||
Auto Parts & Equipment 1.0% | ||||
170,000 | IHO Verwaltungs GmbH, 6.38% Cash/7.13% PIK, due 5/15/2029 | 170,167 (b)(f) | ||
ZF North America Capital, Inc. | ||||
60,000 | 4.75%, due 4/29/2025 | 59,322 (b) | ||
255,000 | 6.88%, due 4/23/2032 | 263,646 (b) | ||
493,135 | ||||
Banks 3.2% | ||||
200,000 | Banco Santander SA, 6.35%, due 3/14/2034 | 206,022 | ||
245,000 | Citizens Financial Group, Inc., 5.84%, due 1/23/2030 | 249,050 (g) | ||
245,000 | Lloyds Banking Group PLC, 5.68%, due 1/5/2035 | 250,940 (g) | ||
240,000 | M&T Bank Corp., 3.50%, due 9/1/2026 | 206,896 (g)(h) | ||
310,000 | Morgan Stanley, 2.48%, due 9/16/2036 | 251,385 (g) | ||
245,000 | NatWest Group PLC, 5.81%, due 9/13/2029 | 252,536 (g) | ||
265,000 | Santander U.K. Group Holdings PLC, 3.82%, due 11/3/2028 | 254,004 (g) | ||
1,670,833 | ||||
Building Materials 1.3% | ||||
200,000 | Cemex SAB de CV, 9.13%, due 3/14/2028 | 215,722 (g)(h)(i) |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Building Materials – cont'd | ||||
Cornerstone Building Brands, Inc. | ||||
$ | 60,000 | 6.13%, due 1/15/2029 | $49,441 (b) | |
90,000 | 9.50%, due 8/15/2029 | 90,113 (b)(e) | ||
110,000 | EMRLD Borrower LP/Emerald Co.-Issuer, Inc., 6.75%, due 7/15/2031 | 112,175 (b) | ||
Standard Industries, Inc. | ||||
160,000 | 3.38%, due 1/15/2031 | 136,876 (b) | ||
75,000 | 6.50%, due 8/15/2032 | 75,136 (b)(e) | ||
679,463 | ||||
Chemicals 1.7% | ||||
205,000 | INEOS Finance PLC, 7.50%, due 4/15/2029 | 208,675 (b) | ||
Olympus Water U.S. Holding Corp. | ||||
105,000 | 9.75%, due 11/15/2028 | 111,580 (b) | ||
195,000 | 6.25%, due 10/1/2029 | 178,943 (b) | ||
200,000 | Sasol Financing USA LLC, 6.50%, due 9/27/2028 | 195,789 | ||
WR Grace Holdings LLC | ||||
85,000 | 5.63%, due 8/15/2029 | 77,780 (b) | ||
130,000 | 7.38%, due 3/1/2031 | 133,487 (b) | ||
906,254 | ||||
Commercial Services 3.3% | ||||
135,000 | Allied Universal Holdco LLC, 7.88%, due 2/15/2031 | 137,350 (b) | ||
100,000 | Allied Universal Holdco LLC/Allied Universal Finance Corp., 6.00%, due 6/1/2029 | 87,129 (b) | ||
190,000 | Block, Inc., 6.50%, due 5/15/2032 | 193,078 (b) | ||
275,000 | Boost Newco Borrower LLC, 7.50%, due 1/15/2031 | 289,650 (b) | ||
235,000 | Champions Financing, Inc., 8.75%, due 2/15/2029 | 239,688 (b) | ||
Garda World Security Corp. | ||||
60,000 | 7.75%, due 2/15/2028 | 61,914 (b) | ||
80,000 | 6.00%, due 6/1/2029 | 74,169 (b) | ||
15,000 | 8.25%, due 8/1/2032 | 15,021 (b) | ||
25,000 | Herc Holdings, Inc., 6.63%, due 6/15/2029 | 25,525 (b) | ||
200,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 1/15/2028 | 199,343 (b) | ||
110,000 | United Rentals North America, Inc., 5.25%, due 1/15/2030 | 107,608 | ||
290,000 | Wand NewCo 3, Inc., 7.63%, due 1/30/2032 | 302,696 (b) | ||
1,733,171 | ||||
Computers 1.0% | ||||
195,000 | Ahead DB Holdings LLC, 6.63%, due 5/1/2028 | 185,474 (b) | ||
30,000 | Amentum Escrow Corp., 7.25%, due 8/1/2032 | 30,639 (b)(e) | ||
175,000 | Fortress Intermediate 3, Inc., 7.50%, due 6/1/2031 | 179,435 (b) | ||
110,000 | McAfee Corp., 7.38%, due 2/15/2030 | 102,609 (b) | ||
498,157 | ||||
Cosmetics - Personal Care 0.2% | ||||
120,000 | Coty, Inc./HFC Prestige Products, Inc./HFC Prestige International U.S. LLC, 6.63%, due 7/15/2030 | 123,220 (b) | ||
Distribution - Wholesale 1.2% | ||||
60,000 | Dealer Tire LLC/DT Issuer LLC, 8.00%, due 2/1/2028 | 59,858 (b) | ||
250,000 | Ritchie Bros Holdings, Inc., 7.75%, due 3/15/2031 | 262,876 (b) | ||
305,000 | Windsor Holdings III LLC, 8.50%, due 6/15/2030 | 321,014 (b) | ||
643,748 | ||||
Diversified Financial Services 3.3% | ||||
275,000 | AerCap Ireland Capital DAC/AerCap Global Aviation Trust, 3.00%, due 10/29/2028 | 254,461 |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Diversified Financial Services – cont'd | ||||
$ | 270,000 | Air Lease Corp., 2.20%, due 1/15/2027 | $253,101 | |
280,000 | Ally Financial, Inc., 4.70%, due 5/15/2026 | 256,707 (g)(h) | ||
225,000 | Capital One Financial Corp., 7.62%, due 10/30/2031 | 251,670 (g) | ||
530,000 | Charles Schwab Corp., 4.00%, due 6/1/2026 | 494,935 (g)(h) | ||
220,000 | Nationstar Mortgage Holdings, Inc., 6.50%, due 8/1/2029 | 219,675 (b)(e) | ||
1,730,549 | ||||
Electric 3.1% | ||||
Calpine Corp. | ||||
265,000 | 5.13%, due 3/15/2028 | 256,657 (b) | ||
60,000 | 4.63%, due 2/1/2029 | 56,698 (b) | ||
115,000 | 5.00%, due 2/1/2031 | 108,605 (b) | ||
215,000 | Electricite de France SA, 9.13%, due 3/15/2033 | 238,205 (b)(g)(h) | ||
160,000 | NRG Energy, Inc., 10.25%, due 3/15/2028 | 177,296 (b)(g)(h) | ||
225,000 | Pacific Gas & Electric Co., 6.95%, due 3/15/2034 | 248,217 | ||
350,000 | Vistra Corp., 7.00%, due 12/15/2026 | 352,011 (b)(g)(h) | ||
170,000 | Vistra Operations Co. LLC, 7.75%, due 10/15/2031 | 179,648 (b) | ||
1,617,337 | ||||
Electronics 0.8% | ||||
170,000 | EquipmentShare.com, Inc., 9.00%, due 5/15/2028 | 174,985 (b) | ||
245,000 | TD SYNNEX Corp., 6.10%, due 4/12/2034 | 252,044 | ||
427,029 | ||||
Engineering & Construction 0.2% | ||||
120,000 | Artera Services LLC, 8.50%, due 2/15/2031 | 123,032 (b) | ||
Entertainment 3.0% | ||||
Churchill Downs, Inc. | ||||
110,000 | 4.75%, due 1/15/2028 | 106,204 (b) | ||
90,000 | 6.75%, due 5/1/2031 | 91,401 (b) | ||
235,000 | Merlin Entertainments Group U.S. Holdings, Inc., 7.38%, due 2/15/2031 | 243,421 (b) | ||
220,000 | Midwest Gaming Borrower LLC/Midwest Gaming Finance Corp., 4.88%, due 5/1/2029 | 207,741 (b) | ||
60,000 | Motion Bondco DAC, 6.63%, due 11/15/2027 | 59,083 (b) | ||
325,000 | SeaWorld Parks & Entertainment, Inc., 5.25%, due 8/15/2029 | 309,578 (b) | ||
295,000 | Six Flags Entertainment Corp., 7.25%, due 5/15/2031 | 304,129 (b) | ||
300,000 | Warnermedia Holdings, Inc., 4.28%, due 3/15/2032 | 260,235 | ||
1,581,792 | ||||
Environmental Control 0.4% | ||||
220,000 | Madison IAQ LLC, 5.88%, due 6/30/2029 | 205,963 (b) | ||
Food 0.4% | ||||
200,000 | Minerva Luxembourg SA, 8.88%, due 9/13/2033 | 210,934 (i) | ||
Hand - Machine Tools 0.5% | ||||
240,000 | Regal Rexnord Corp., 6.40%, due 4/15/2033 | 250,692 | ||
Healthcare - Products 0.6% | ||||
320,000 | Medline Borrower LP, 5.25%, due 10/1/2029 | 309,310 (b) |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Healthcare - Services 2.4% | ||||
CHS/Community Health Systems, Inc. | ||||
$ | 50,000 | 5.63%, due 3/15/2027 | $47,878 (b) | |
55,000 | 5.25%, due 5/15/2030 | 47,964 (b) | ||
40,000 | 10.88%, due 1/15/2032 | 42,999 (b) | ||
20,000 | Concentra Escrow Issuer Corp., 6.88%, due 7/15/2032 | 20,606 (b) | ||
265,000 | HCA, Inc., 4.13%, due 6/15/2029 | 255,649 | ||
100,000 | HealthEquity, Inc., 4.50%, due 10/1/2029 | 94,196 (b) | ||
LifePoint Health, Inc. | ||||
115,000 | 9.88%, due 8/15/2030 | 125,329 (b) | ||
75,000 | 10.00%, due 6/1/2032 | 79,596 (b) | ||
255,000 | Star Parent, Inc., 9.00%, due 10/1/2030 | 272,124 (b) | ||
245,000 | Surgery Center Holdings, Inc., 7.25%, due 4/15/2032 | 253,023 (b) | ||
1,239,364 | ||||
Holding Companies - Diversified 0.2% | ||||
105,000 | Benteler International AG, 10.50%, due 5/15/2028 | 111,667 (b) | ||
Home Builders 0.3% | ||||
150,000 | Beazer Homes USA, Inc., 7.50%, due 3/15/2031 | 152,213 (b) | ||
Insurance 3.2% | ||||
120,000 | Acrisure LLC/Acrisure Finance, Inc., 8.25%, due 2/1/2029 | 122,043 (b) | ||
Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer | ||||
85,000 | 6.75%, due 10/15/2027 | 84,362 (b) | ||
285,000 | 6.75%, due 4/15/2028 | 286,411 (b) | ||
AmWINS Group, Inc. | ||||
100,000 | 6.38%, due 2/15/2029 | 101,449 (b) | ||
185,000 | 4.88%, due 6/30/2029 | 174,438 (b) | ||
180,000 | AssuredPartners, Inc., 7.50%, due 2/15/2032 | 183,260 (b) | ||
135,000 | BroadStreet Partners, Inc., 5.88%, due 4/15/2029 | 130,108 (b) | ||
115,000 | GTCR AP Finance, Inc., 8.00%, due 5/15/2027 | 115,374 (b) | ||
290,000 | HUB International Ltd., 7.25%, due 6/15/2030 | 299,100 (b) | ||
175,000 | Panther Escrow Issuer LLC, 7.13%, due 6/1/2031 | 179,569 (b) | ||
1,676,114 | ||||
Investment Companies 0.5% | ||||
255,000 | Ares Capital Corp., 5.95%, due 7/15/2029 | 255,809 | ||
Leisure Time 1.0% | ||||
170,000 | Carnival Corp., 6.00%, due 5/1/2029 | 169,587 (b) | ||
100,000 | NCL Corp. Ltd., 7.75%, due 2/15/2029 | 105,249 (b) | ||
225,000 | Viking Cruises Ltd., 9.13%, due 7/15/2031 | 245,350 (b) | ||
520,186 | ||||
Lodging 0.4% | ||||
200,000 | Melco Resorts Finance Ltd., 5.75%, due 7/21/2028 | 187,406 (i) | ||
Machinery - Diversified 0.9% | ||||
185,000 | Chart Industries, Inc., 7.50%, due 1/1/2030 | 192,456 (b) | ||
125,000 | SPX FLOW, Inc., 8.75%, due 4/1/2030 | 130,242 (b) | ||
150,000 | TK Elevator Holdco GmbH, 7.63%, due 7/15/2028 | 149,963 (b) | ||
472,661 |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Media 1.6% | ||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||
$ | 215,000 | 5.00%, due 2/1/2028 | $204,685 (b) | |
30,000 | 6.38%, due 9/1/2029 | 29,210 (b) | ||
55,000 | 4.75%, due 3/1/2030 | 49,239 (b) | ||
80,000 | 4.50%, due 8/15/2030 | 70,043 (b) | ||
50,000 | 4.25%, due 2/1/2031 | 42,543 (b) | ||
80,000 | 4.50%, due 5/1/2032 | 66,982 | ||
175,000 | CSC Holdings LLC, 11.75%, due 1/31/2029 | 158,198 (b) | ||
McGraw-Hill Education, Inc. | ||||
85,000 | 5.75%, due 8/1/2028 | 81,867 (b) | ||
120,000 | 8.00%, due 8/1/2029 | 117,004 (b) | ||
819,771 | ||||
Mining 0.8% | ||||
FMG Resources August 2006 Pty. Ltd. | ||||
175,000 | 4.38%, due 4/1/2031 | 158,175 (b) | ||
100,000 | 6.13%, due 4/15/2032 | 98,988 (b) | ||
135,000 | Hudbay Minerals, Inc., 6.13%, due 4/1/2029 | 134,975 (b) | ||
392,138 | ||||
Multi-National 0.4% | ||||
200,000 | Banque Ouest Africaine de Developpement, 5.00%, due 7/27/2027 | 192,144 (i) | ||
Office - Business Equipment 0.5% | ||||
275,000 | CDW LLC/CDW Finance Corp., 3.25%, due 2/15/2029 | 251,868 | ||
Oil & Gas 4.3% | ||||
310,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 5.88%, due 6/30/2029 | 304,047 (b) | ||
105,976 | Borr IHC Ltd./Borr Finance LLC, 10.00%, due 11/15/2028 | 110,976 (b) | ||
155,000 | Civitas Resources, Inc., 8.63%, due 11/1/2030 | 167,417 (b) | ||
220,000 | Comstock Resources, Inc., 6.75%, due 3/1/2029 | 213,153 (b) | ||
185,000 | Hilcorp Energy I LP/Hilcorp Finance Co., 6.25%, due 4/15/2032 | 179,954 (b) | ||
200,000 | KazMunayGas National Co. JSC, 3.50%, due 4/14/2033 | 165,334 (i) | ||
200,000 | Medco Bell Pte. Ltd., 6.38%, due 1/30/2027 | 197,854 (i) | ||
200,000 | SEPLAT Energy PLC, 7.75%, due 4/1/2026 | 197,323 (i) | ||
200,000 | SierraCol Energy Andina LLC, 6.00%, due 6/15/2028 | 179,804 (i) | ||
200,000 | Trident Energy Finance PLC, 12.50%, due 11/30/2029 | 207,800 (b) | ||
200,000 | Tullow Oil PLC, 10.25%, due 5/15/2026 | 193,118 (i) | ||
100,000 | YPF SA, 9.50%, due 1/17/2031 | 102,885 (i) | ||
2,219,665 | ||||
Packaging & Containers 1.8% | ||||
220,000 | Ardagh Metal Packaging Finance USA LLC/Ardagh Metal Packaging Finance PLC, 3.25%, due 9/1/2028 | 195,945 (b) | ||
Mauser Packaging Solutions Holding Co. | ||||
85,000 | 7.88%, due 4/15/2027 | 87,723 (b) | ||
240,000 | 9.25%, due 4/15/2027 | 240,323 (b) | ||
85,000 | Pactiv Evergreen Group Issuer LLC/Pactiv Evergreen Group Issuer, Inc., 4.38%, due 10/15/2028 | 79,794 (b) | ||
55,000 | Trident TPI Holdings, Inc., 12.75%, due 12/31/2028 | 60,122 (b) | ||
300,000 | Trivium Packaging Finance BV, 8.50%, due 8/15/2027 | 294,510 (b) | ||
958,417 | ||||
Pipelines 5.0% | ||||
240,000 | Antero Midstream Partners LP/Antero Midstream Finance Corp., 6.63%, due 2/1/2032 | 244,854 (b) |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Pipelines – cont'd | ||||
$ | 440,000 | CQP Holdco LP/BIP-V Chinook Holdco LLC, 5.50%, due 6/15/2031 | $422,021 (b) | |
190,000 | DT Midstream, Inc., 4.38%, due 6/15/2031 | 175,174 (b) | ||
250,000 | Energy Transfer LP, 5.55%, due 5/15/2034 | 252,245 | ||
200,000 | Galaxy Pipeline Assets Bidco Ltd., 2.63%, due 3/31/2036 | 165,091 (i) | ||
Genesis Energy LP/Genesis Energy Finance Corp. | ||||
230,000 | 8.00%, due 1/15/2027 | 235,181 | ||
35,000 | 7.88%, due 5/15/2032 | 35,740 | ||
260,000 | Harvest Midstream I LP, 7.50%, due 9/1/2028 | 266,071 (b) | ||
250,000 | Kinetik Holdings LP, 5.88%, due 6/15/2030 | 247,472 (b) | ||
100,000 | New Fortress Energy, Inc., 6.50%, due 9/30/2026 | 92,985 (b) | ||
200,000 | Southern Gas Corridor CJSC, 6.88%, due 3/24/2026 | 201,700 (i) | ||
290,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 12/31/2030 | 274,796 (b) | ||
2,613,330 | ||||
Real Estate 0.3% | ||||
200,000 | Franshion Brilliant Ltd., 4.25%, due 7/23/2029 | 154,500 (i) | ||
Real Estate Investment Trusts 1.0% | ||||
295,000 | Blackstone Mortgage Trust, Inc., 3.75%, due 1/15/2027 | 270,790 (b) | ||
115,000 | Park Intermediate Holdings LLC/PK Domestic Property LLC/PK Finance Co.-Issuer, 5.88%, due 10/1/2028 | 113,850 (b) | ||
125,000 | Starwood Property Trust, Inc., 7.25%, due 4/1/2029 | 128,556 (b) | ||
513,196 | ||||
Retail 1.3% | ||||
125,000 | 1011778 BC ULC/New Red Finance, Inc., 4.00%, due 10/15/2030 | 111,497 (b) | ||
155,000 | Bath & Body Works, Inc., 6.63%, due 10/1/2030 | 156,472 (b) | ||
150,000 | Cougar JV Subsidiary LLC, 8.00%, due 5/15/2032 | 156,951 (b) | ||
160,000 | Macy's Retail Holdings LLC, 5.88%, due 3/15/2030 | 153,572 (b) | ||
80,000 | PetSmart, Inc./PetSmart Finance Corp., 7.75%, due 2/15/2029 | 77,646 (b) | ||
656,138 | ||||
Software 1.6% | ||||
180,000 | AthenaHealth Group, Inc., 6.50%, due 2/15/2030 | 169,710 (b) | ||
Cloud Software Group, Inc. | ||||
180,000 | 6.50%, due 3/31/2029 | 175,455 (b) | ||
100,000 | 8.25%, due 6/30/2032 | 103,750 (b) | ||
25,000 | Rackspace Finance LLC, 3.50%, due 5/15/2028 | 10,827 (b) | ||
365,000 | UKG, Inc., 6.88%, due 2/1/2031 | 375,160 (b) | ||
834,902 | ||||
Telecommunications 1.0% | ||||
Frontier Communications Holdings LLC | ||||
80,000 | 5.88%, due 10/15/2027 | 79,213 (b) | ||
245,000 | 5.00%, due 5/1/2028 | 235,950 (b) | ||
Level 3 Financing, Inc. | ||||
50,000 | 11.00%, due 11/15/2029 | 52,932 (b) | ||
55,000 | 10.50%, due 5/15/2030 | 56,210 (b) | ||
99,000 | Telecom Argentina SA, 9.50%, due 7/18/2031 | 97,973 (b) | ||
522,278 | ||||
Transportation 0.7% | ||||
350,000 | XPO, Inc., 7.13%, due 2/1/2032 | 361,977 (b) | ||
Total Corporate Bonds (Cost $30,034,447) | 30,276,769 |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Loan Assignments(c) 9.6% | ||||
Aerospace & Defense 0.9% | ||||
$ | 498,683 | Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%, due 2/1/2028 | 498,474 | |
Containers & Glass Products 1.0% | ||||
500,000 | Trident TPI Holdings, Inc., Term Loan B6, (3 mo. USD Term SOFR), due 9/15/2028 | 502,475 (j)(k) | ||
Financial Intermediaries 0.5% | ||||
250,000 | Edelman Financial Center LLC, Second Lien Term Loan, (1 mo. USD Term SOFR + 5.25%), 10.59%, due 10/6/2028 | 250,125 | ||
Health Care 1.0% | ||||
500,000 | Auris Luxembourg III SARL, Term Loan B4, (6 mo. USD Term SOFR), due 2/28/2029 | 501,735 (j)(k) | ||
Health Care Equipment & Supplies 1.2% | ||||
648,346 | Bausch & Lomb Corp., Term Loan, (1 mo. USD Term SOFR), due 5/10/2027 | 635,950 (j)(k) | ||
Independent Power & Renewable Electricity Producers 1.0% | ||||
Parkway Generation LLC | ||||
440,241 | Term Loan B, (3 mo. USD Term SOFR + 4.75%), 10.26%, due 2/18/2029 | $443,270 | ||
58,633 | Term Loan C, (3 mo. USD Term SOFR + 4.75%), 10.26%, due 2/18/2029 | 59,036 | ||
502,306 | ||||
Leisure Goods - Activities - Movies 1.2% | ||||
648,375 | Motion Finco SARL, Term Loan B, (3 mo. USD Term SOFR), due 11/12/2029 | 650,268 (j)(k) | ||
Oil, Gas & Consumable Fuels 1.0% | ||||
500,000 | Epic Y-Grade Services LP, Term Loan B, (3 mo. USD Term SOFR), due 6/29/2029 | 499,765 (j)(k) | ||
Publishing 0.5% | ||||
250,000 | Ascend Learning LLC, Second Lien Term Loan, (1 mo. USD Term SOFR), due 12/10/2029 | 241,250 (j)(k) | ||
Software 0.4% | ||||
250,000 | Cloudera, Inc., Second Lien Term Loan, (1 mo. USD Term SOFR + 6.00%), 11.44%, due 10/8/2029 | 232,813 | ||
Utilities 0.9% | ||||
Lightstone Holdco LLC | ||||
471,830 | Term Loan B, (3 mo. USD Term SOFR + 5.75%), 11.00%, due 1/29/2027 | 470,650 | ||
26,690 | Term Loan C, (3 mo. USD Term SOFR + 5.75%), 11.00%, due 1/29/2027 | 26,623 | ||
497,273 | ||||
Total Loan Assignments (Cost $5,034,939) | 5,012,434 | |||
Foreign Government Securities 8.4% | ||||
200,000 | Angolan Government International Bonds, 8.75%, due 4/14/2032 | 178,666 (i) | ||
Argentine Republic Government International Bonds | ||||
249,600 | 0.75%, due 7/9/2030 | 134,534 (l) | ||
410,000 | 4.13%, due 7/9/2046 | 179,976 (l) | ||
200,000 | Brazil Government International Bonds, 3.88%, due 6/12/2030 | 180,537 | ||
Colombia Government International Bonds | ||||
250,000 | 4.50%, due 3/15/2029 | 231,101 | ||
200,000 | 7.50%, due 2/2/2034 | 202,770 | ||
200,000 | Costa Rica Government International Bonds, 6.55%, due 4/3/2034 | 206,499 (i) | ||
280,000 | Dominican Republic International Bonds, 5.50%, due 2/22/2029 | 274,692 (i) | ||
200,000 | Ecuador Government International Bonds, 5.50%, due 7/31/2035 | 105,631 (i)(l) | ||
200,000 | Egypt Government International Bonds, 8.70%, due 3/1/2049 | 153,742 (i) | ||
200,000 | El Salvador Government International Bonds, 9.50%, due 7/15/2052 | 161,147 (i) |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Foreign Government Securities – cont'd | ||||
$ | 220,000 | Ghana Government International Bonds, 10.75%, due 10/14/2030 | $147,823 (i) | |
200,000 | Guatemala Government Bonds, 5.25%, due 8/10/2029 | 193,699 (i) | ||
EUR | 200,000 | Ivory Coast Government International Bonds, 5.88%, due 10/17/2031 | 197,184 (i) | |
$ | 200,000 | Mongolia Government International Bonds, 3.50%, due 7/7/2027 | 181,356 (i) | |
200,000 | Nigeria Government International Bonds, 8.38%, due 3/24/2029 | 188,006 (i) | ||
220,000 | Panama Government International Bonds, 3.16%, due 1/23/2030 | 188,947 | ||
Republic of South Africa Government International Bonds | ||||
200,000 | 4.85%, due 9/30/2029 | 186,564 | ||
290,000 | 5.75%, due 9/30/2049 | 223,409 | ||
200,000 | Romania Government International Bonds, 3.63%, due 3/27/2032 | 172,758 (b) | ||
400,000 | Sri Lanka Government International Bonds, 6.83%, due 7/18/2026 | 223,883 (i)(m) | ||
200,000 | Turkiye Government International Bonds, 9.38%, due 3/14/2029 | 220,468 | ||
253,764 | Zambia Government International Bonds, 5.75%, due 6/30/2033 | 222,044 (i)(l) | ||
Total Foreign Government Securities (Cost $4,351,694) | 4,355,436 | |||
Number of Shares | ||||
Short-Term Investments 1.1% | ||||
Investment Companies 1.1% | ||||
554,520 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(n) (Cost $554,520) | 554,520 | ||
Total Investments 113.8% (Cost $58,946,648) | 59,183,338 | |||
Liabilities Less Other Assets (13.8)% | (7,159,202 )(o) | |||
Net Assets 100.0% | $52,024,136 |
(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 July 31, 2024, these securities amounted to $28,983,206, which represents 55.7% of net assets of the Fund. |
(c) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2024 and changes periodically. |
(d) | Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of July 31, 2024. |
(e) | When-issued security. Total value of all such securities at July 31, 2024 amounted to $5,495,519, which represents 10.6% of net assets of the Fund. |
(f) | Payment-in-kind (PIK) security. |
(g) | 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. |
(h) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
(i) | 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 July 31, 2024 amounted to $4,798,187, which represents 9.2% of net assets of the Fund. |
(j) | All or a portion of this security was purchased on a delayed delivery basis. |
(k) | All or a portion of this security had not settled as of July 31, 2024 and thus may not have an interest rate in effect. Interest rates do not take effect until settlement. |
(l) | Step Bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown was the current rate as of July 31, 2024. |
(m) | Defaulted security. |
(n) | Represents 7-day effective yield as of July 31, 2024. |
(o) | Includes the impact of the Fund’s open positions in derivatives at July 31, 2024. |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $40,936,723 | 78.7% |
Cayman Islands | 3,750,217 | 7.2% |
United Kingdom | 1,710,252 | 3.3% |
Jersey | 1,250,000 | 2.4% |
Canada | 835,461 | 1.6% |
Germany | 643,098 | 1.2% |
Colombia | 613,675 | 1.2% |
South Africa | 605,762 | 1.2% |
Brazil | 599,271 | 1.1% |
Argentina | 515,368 | 1.0% |
Denmark | 501,735 | 1.0% |
Nigeria | 385,329 | 0.7% |
Ghana | 340,941 | 0.7% |
Mexico | 326,698 | 0.6% |
Netherlands | 294,510 | 0.6% |
Dominican Republic | 274,692 | 0.5% |
Australia | 257,163 | 0.5% |
Ireland | 254,461 | 0.5% |
France | 238,205 | 0.5% |
Sri Lanka | 223,883 | 0.4% |
Zambia | 222,044 | 0.4% |
Turkey | 220,468 | 0.4% |
Luxembourg | 208,675 | 0.4% |
Costa Rica | 206,499 | 0.4% |
Spain | 206,022 | 0.4% |
Azerbaijan | 201,700 | 0.4% |
Indonesia | 197,854 | 0.4% |
Cote D'Ivoire | 197,184 | 0.4% |
Guatemala | 193,699 | 0.4% |
Supranational | 192,144 | 0.4% |
Panama | 188,947 | 0.4% |
Hong Kong | 187,406 | 0.4% |
Mongolia | 181,356 | 0.3% |
Angola | 178,666 | 0.3% |
Romania | 172,758 | 0.3% |
Kazakhstan | 165,334 | 0.3% |
United Arab Emirates | 165,091 | 0.3% |
El Salvador | 161,147 | 0.3% |
China | 154,500 | 0.3% |
Egypt | 153,742 | 0.3% |
Austria | 111,667 | 0.2% |
Ecuador | 105,631 | 0.2% |
Bermuda | 98,840 | 0.2% |
Short-Term Investments and Other Liabilities—Net | (6,604,682) | (12.7)% |
$52,024,136 | 100.0% |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income ETF^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At July 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) |
9/2024 | 7 | U.S. Treasury Long Bond | $845,469 | $13,125 |
9/2024 | 10 | U.S. Treasury Note, 10 Year | 1,118,125 | 17,188 |
9/2024 | 46 | U.S. Treasury Note, 5 Year | 4,962,969 | 57,014 |
9/2024 | 15 | U.S. Treasury Note, Ultra ,10 Year | 1,733,672 | 27,187 |
Total Futures | $114,514 |
Forward foreign currency contracts ("forward FX contracts")
At July 31, 2024, open forward FX contracts for the Fund were as follows:
Currency Purchased | Currency Sold | Counterparty | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||
USD | 228,884 | EUR | 210,000 | RBC | 10/17/2024 | $801 |
Total unrealized appreciation | $801 |
Credit default swap contracts ("credit default swaps")
At July 31, 2024, the Fund had outstanding credit default swaps as follows:
Centrally Cleared Credit Default Swaps — Sell Protection |
Clearinghouse | Reference Entity | Notional Amount | Financing Rate Received by the Fund | Payment Frequency | Maturity Date | Upfront Payments/ (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |
ICE CC | CDX North America High Yield Index, Ser. 42.V1 | USD | 2,500,000 | 5.00 % | 3M | 6/20/2029 | $154,958 | $15,092 | $14,583 | $184,633 |
See Notes to Schedule of Investments
Schedule of Investments Flexible Credit Income 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 July 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
U.S. Treasury Obligations | $— | $11,238,001 | $— | $11,238,001 |
Mortgage-Backed Securities# | — | 1,733,945 | — | 1,733,945 |
Asset-Backed Securities | — | 6,012,233 | — | 6,012,233 |
Corporate Bonds# | — | 30,276,769 | — | 30,276,769 |
Loan Assignments# | — | 5,012,434 | — | 5,012,434 |
Foreign Government Securities | — | 4,355,436 | — | 4,355,436 |
Short-Term Investments | — | 554,520 | — | 554,520 |
Total Investments | $— | $59,183,338 | $— | $59,183,338 |
# | The Schedule of Investments provides information on the industry, state/territory or sector categorization as well as a Positions by Country summary. |
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 July 31, 2024:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Assets | $114,514 | $— | $— | $114,514 |
Forward FX Contracts@ | ||||
Assets | — | 801 | — | 801 |
Swaps | ||||
Assets | — | 184,633 | — | 184,633 |
Total | $114,514 | $185,434 | $— | $299,948 |
@ | Futures and forward FX contracts are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ 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 Short Duration Income ETF^ (Unaudited) July 31, 2024
Principal Amount | Value | |||
Mortgage-Backed Securities 28.7% | ||||
Collateralized Mortgage Obligations 12.3% | ||||
Chase Home Lending Mortgage Trust | ||||
$ | 229,562 | Series 2024-2, Class A6A, 6.00%, due 2/25/2055 | $230,265 (a)(b) | |
393,158 | Series 2024-4, Class A6, 6.00%, due 3/25/2055 | 394,351 (a)(b) | ||
COLT Mortgage Loan Trust | ||||
811,828 | Series 2021-5, Class A1, 1.73%, due 11/26/2066 | 706,923 (a)(b) | ||
276,740 | Series 2024-2, Class A1, 6.13%, due 4/25/2069 | 278,879 (a) | ||
668,874 | Ellington Financial Mortgage Trust, Series 2022-1, Class A1, 2.21%, due 1/25/2067 | 577,641 (a)(b) | ||
Federal Home Loan Mortgage Corp. STACR REMIC Trust | ||||
129,303 | Series 2021-HQA2, Class M2, (30 day USD SOFR Average + 2.05%), 7.40%, due 12/25/2033 | 132,360 (a)(c) | ||
550,000 | Series 2021-DNA6, Class M2, (30 day USD SOFR Average + 1.50%), 6.85%, due 10/25/2041 | 553,107 (a)(c) | ||
785,000 | Series 2022-DNA2, Class M1B, (30 day USD SOFR Average + 2.40%), 7.75%, due 2/25/2042 | 806,563 (a)(c) | ||
408,000 | Series 2022-DNA2, Class M2, (30 day USD SOFR Average + 3.75%), 9.10%, due 2/25/2042 | 429,024 (a)(c) | ||
469,000 | Series 2022-HQA1, Class M2, (30 day USD SOFR Average + 5.25%), 10.60%, due 3/25/2042 | 509,679 (a)(c) | ||
333,000 | Series 2022-HQA3, Class M1B, (30 day USD SOFR Average + 3.55%), 8.90%, due 8/25/2042 | 351,454 (a)(c) | ||
860,000 | Series 2024-DNA1, Class M2, (30 day USD SOFR Average + 1.95%), 7.30%, due 2/25/2044 | 868,024 (a)(c) | ||
505,000 | Series 2024-DNA2, Class M2, (30 day USD SOFR Average + 1.70%), 7.05%, due 5/25/2044 | 505,452 (a)(c) | ||
403,239 | Federal Home Loan Mortgage Corp. STACR Trust, Series 2017-DNA1, Class M2, (30 day USD SOFR Average + 3.36%), 8.71%, due 7/25/2029 | 418,883 (c) | ||
Federal National Mortgage Association Connecticut Avenue Securities | ||||
265,391 | Series 2016-C01, Class 2M2, (30 day USD SOFR Average + 7.06%), 12.41%, due 8/25/2028 | 278,827 (c) | ||
518,659 | Series 2018-C02, Class 2M2, (30 day USD SOFR Average + 2.31%), 7.66%, due 8/25/2030 | 528,063 (c) | ||
231,012 | Series 2021-R01, Class 1M2, (30 day USD SOFR Average + 1.55%), 6.90%, due 10/25/2041 | 232,593 (a)(c) | ||
751,000 | Series 2021-R03, Class 1M2, (30 day USD SOFR Average + 1.65%), 7.00%, due 12/25/2041 | 757,566 (a)(c) | ||
1,700,000 | Series 2022-R01, Class 1M2, (30 day USD SOFR Average + 1.90%), 7.25%, due 12/25/2041 | 1,722,321 (a)(c) | ||
625,000 | Series 2022-R04, Class 1M2, (30 day USD SOFR Average + 3.10%), 8.45%, due 3/25/2042 | 649,588 (a)(c) | ||
725,000 | Series 2022-R03, Class 1M2, (30 day USD SOFR Average + 3.50%), 8.85%, due 3/25/2042 | 763,432 (a)(c) | ||
495,000 | Series 2022-R07, Class 1M2, (30 day USD SOFR Average + 4.65%), 10.00%, due 6/25/2042 | 538,115 (a)(c) | ||
79,000 | Series 2022-R08, Class 1M2, (30 day USD SOFR Average + 3.60%), 8.95%, due 7/25/2042 | 83,641 (a)(c) | ||
435,000 | Series 2022-R08, Class 1B1, (30 day USD SOFR Average + 5.60%), 10.95%, due 7/25/2042 | 477,143 (a)(c) | ||
687,978 | Series 2023-R01, Class 1M1, (30 day USD SOFR Average + 2.40%), 7.75%, due 12/25/2042 | 709,477 (a)(c) | ||
244,000 | Series 2023-R02, Class 1M2, (30 day USD SOFR Average + 3.35%), 8.70%, due 1/25/2043 | 258,086 (a)(c) | ||
365,792 | GCAT Trust, Series 2021-NQM5, Class A1, 1.26%, due 7/25/2066 | 301,475 (a)(b) | ||
JP Morgan Mortgage Trust | ||||
325,241 | Series 2024-2, Class A6A, 6.00%, due 8/25/2054 | 326,995 (a)(b) | ||
269,793 | Series 2024-HE1, Class A1, (30 day USD SOFR Average + 1.50%), 6.84%, due 8/25/2054 | 271,305 (a)(c) | ||
359,983 | Series 2024-4, Class A6A, 6.00%, due 10/25/2054 | 361,103 (a)(b) | ||
354,000 | LHOME Mortgage Trust, Series 2024-RTL4, Class A1, 5.92%, due 7/25/2039 | 353,997 (a)(d) | ||
207,017 | New Residential Mortgage Loan Trust, Series 2019-NQM5, Class A1, 2.71%, due 11/25/2059 | 192,997 (a)(b) | ||
Sequoia Mortgage Trust | ||||
163,459 | Series 2024-2, Class A10, 6.00%, due 12/25/2053 | 163,879 (a)(b) | ||
391,689 | Series 2024-4, Class A10, 6.00%, due 5/25/2054 | 393,450 (a)(b) | ||
384,047 | SG Residential Mortgage Trust, Series 2021-2, Class A1, 1.74%, due 12/25/2061 | 321,467 (a)(b) | ||
766,788 | Towd Point Mortgage Trust, Series 2022-4, Class A1, 3.75%, due 9/25/2062 | 728,060 (a) | ||
Verus Securitization Trust | ||||
311,440 | Series 2021-3, Class A3, 1.44%, due 6/25/2066 | 266,871 (a)(b) | ||
334,389 | Series 2021-6, Class A3, 1.89%, due 10/25/2066 | 285,840 (a)(b) | ||
294,952 | Series 2022-7, Class A1, 5.15%, due 7/25/2067 | 293,281 (a) | ||
18,022,177 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Commercial Mortgage-Backed 9.3% | ||||
$ | 391,475 | BANK, Series 2020-BN30, Class A1, 0.45%, due 12/15/2053 | $378,045 | |
BBCMS Mortgage Trust | ||||
91,336 | Series 2020-C7, Class A1, 1.08%, due 4/15/2053 | 90,474 | ||
4,369,756 | Series 2021-C11, Class XA, 1.37%, due 9/15/2054 | 282,972 (b)(e) | ||
1,876,482 | Series 2022-C17, Class XA, 1.15%, due 9/15/2055 | 138,559 (b)(e) | ||
459,000 | BB-UBS Trust, Series 2012-SHOW, Class A, 3.43%, due 11/5/2036 | 450,795 (a) | ||
Benchmark Mortgage Trust | ||||
205,000 | Series 2020-IG2, Class UBRC, 3.51%, due 9/15/2048 | 189,733 (a)(b) | ||
112,536 | Series 2019-B12, Class A2, 3.00%, due 8/15/2052 | 110,697 | ||
325,000 | Series 2019-B12, Class AS, 3.42%, due 8/15/2052 | 293,121 | ||
225,000 | Series 2020-B17, Class C, 3.37%, due 3/15/2053 | 164,171 (b) | ||
7,405,979 | Series 2021-B30, Class XA, 0.81%, due 11/15/2054 | 336,142 (b)(e) | ||
88,000 | Series 2023-B40, Class C, 7.41%, due 12/15/2056 | 94,575 (b) | ||
29,000 | Series 2024-V5, Class C, 6.97%, due 1/10/2057 | 29,921 (b) | ||
228,000 | Series 2024-V8, Class B, 7.18%, due 7/15/2057 | 238,836 (b) | ||
300,000 | Series 2019-B10, Class B, 4.18%, due 3/15/2062 | 262,373 (b) | ||
199,000 | BMO Mortgage Trust, Series 2024-C8, Class C, 6.23%, due 3/15/2057 | 200,926 (b) | ||
228,000 | BPR Trust, Series 2022-OANA, Class D, (1 mo. USD Term SOFR + 3.70%), 9.02%, due 4/15/2037 | 228,570 (a)(c) | ||
BX Commercial Mortgage Trust | ||||
365,000 | Series 2021-VOLT, Class D, (1 mo. USD Term SOFR + 1.76%), 7.09%, due 9/15/2036 | 358,959 (a)(c) | ||
100,000 | Series 2024-MF, Class C, (1 mo. USD Term SOFR + 1.94%), 7.27%, due 2/15/2039 | 97,500 (a)(c) | ||
215,000 | Series 2024-MF, Class D, (1 mo. USD Term SOFR + 2.69%), 8.02%, due 2/15/2039 | 212,313 (a)(c) | ||
296,326 | Series 2024-XL5, Class D, (1 mo. USD Term SOFR + 2.69%), 8.02%, due 3/15/2041 | 293,640 (a)(c) | ||
BX Trust | ||||
244,000 | Series VLT4, Class E, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 7/15/2029 | 243,582 (a)(c) | ||
336,000 | Series 2024-BIO, Class C, (1 mo. USD Term SOFR + 2.64%), 7.97%, due 2/15/2041 | 334,529 (a)(c) | ||
163,000 | Series 2019-OC11, Class D, 3.94%, due 12/9/2041 | 146,192 (a)(b) | ||
CAMB Commercial Mortgage Trust | ||||
375,218 | Series 2019-LIFE, Class D, (1 mo. USD Term SOFR + 2.05%), 7.38%, due 12/15/2037 | 374,515 (a)(c) | ||
295,000 | Series 2019-LIFE, Class E, (1 mo. USD Term SOFR + 2.45%), 7.78%, due 12/15/2037 | 294,631 (a)(c) | ||
140,000 | Series 2019-LIFE, Class F, (1 mo. USD Term SOFR + 2.85%), 8.18%, due 12/15/2037 | 139,266 (a)(c) | ||
Citigroup Commercial Mortgage Trust | ||||
170,000 | Series 2023-SMRT, Class C, 5.85%, due 10/12/2040 | 166,649 (a)(b) | ||
206,729 | Series 2016-P4, Class AAB, 2.78%, due 7/10/2049 | 203,298 | ||
206,428 | Cold Storage Trust, Series 2020-ICE5, Class D, (1 mo. USD Term SOFR + 2.21%), 7.54%, due 11/15/2037 | 205,783 (a)(c) | ||
COMM Mortgage Trust | ||||
219,000 | Series 2024-277P, Class B, 7.23%, due 8/10/2044 | 223,883 (a)(b)(d) | ||
481,890 | Series 2012-CR4, Class AM, 3.25%, due 10/15/2045 | 424,063 | ||
369,755 | Series 2014-UBS3, Class XA, 0.73%, due 6/10/2047 | 4 (b)(e) | ||
3,583,050 | Series 2014-UBS6, Class XA, 0.81%, due 12/10/2047 | 36 (b)(e) | ||
CONE Trust | ||||
87,000 | Series 2024-DFW1, Class A, (1 mo. USD Term SOFR + 1.64%), 6.94%, due 8/15/2026 | 86,809 (a)(c) | ||
94,000 | Series 2024-DFW1, Class D, (1 mo. USD Term SOFR + 3.04%), 8.34%, due 8/15/2026 | 93,794 (a)(c) | ||
5,968,652 | CSAIL Commercial Mortgage Trust, Series 2016-C5, Class XA, 0.88%, due 11/15/2048 | 48,974 (b)(e) | ||
ELM Trust | ||||
200,000 | Series 2024-ELM, Class D10, 6.63%, due 6/10/2039 | 202,270 (a)(b) | ||
215,000 | Series 2024-ELM, Class D15, 6.67%, due 6/10/2039 | 217,438 (a)(b) | ||
1,535,000 | Federal Home Loan Mortgage Corp. Multiclass Certificates, Series 2020-RR02, Class CX, 1.27%, due 3/27/2029 | 74,065 (b)(e) |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Commercial Mortgage-Backed – cont'd | ||||
$ | 79,973 | Federal Home Loan Mortgage Corp. Multifamily Structured Credit Risk, Series 2024-MN8, Class M1, (30 day USD SOFR Average + 2.85%), 8.20%, due 5/25/2044 | $80,349 (a)(c) | |
Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates | ||||
4,663,027 | Series KW03, Class X1, 0.78%, due 6/25/2027 | 81,901 (b)(e) | ||
3,378,074 | Series K095, Class X1, 0.95%, due 6/25/2029 | 128,767 (b)(e) | ||
5,245,207 | Series K096, Class X1, 1.13%, due 7/25/2029 | 239,422 (b)(e) | ||
4,100,000 | Series K098, Class XAM, 1.39%, due 8/25/2029 | 251,245 (b)(e) | ||
147,000 | FIVE Mortgage Trust, Series 2023-V1, Class C, 6.30%, due 2/10/2056 | 145,158 (b) | ||
207,000 | Great Wolf Trust, Series 2024-WOLF, Class D, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 3/15/2039 | 206,871 (a)(c) | ||
GS Mortgage Securities Trust | ||||
37,232 | Series 2010-C1, Class B, 5.15%, due 8/10/2043 | 37,166 (a) | ||
3,031,199 | Series 2013-GC13, Class XA, 0.00%, due 7/10/2046 | 30 (b)(e) | ||
134,000 | Series 2016-GS2, Class C, 4.70%, due 5/10/2049 | 126,386 (b) | ||
14,276,182 | Series 2015-GC30, Class XA, 0.72%, due 5/10/2050 | 39,015 (b)(e) | ||
400,000 | Hilton USA Trust, Series 2016-HHV, Class D, 4.19%, due 11/5/2038 | 381,949 (a)(b) | ||
181,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2022-OPO, Class D, 3.45%, due 1/5/2039 | 138,465 (a)(b) | ||
167,000 | Manhattan West Mortgage Trust, Series 2020-1MW, Class D, 2.34%, due 9/10/2039 | 145,935 (a)(b) | ||
210,000 | MED Commercial Mortgage Trust, Series 2024-MOB, Class C, (1 mo. USD Term SOFR + 2.29%), 7.62%, due 5/15/2041 | 208,161 (a)(c) | ||
152,000 | Morgan Stanley Bank of America Merrill Lynch Trust, Series 2017-C33, Class C, 4.56%, due 5/15/2050 | 140,593 (b) | ||
Morgan Stanley Capital I Trust | ||||
117,000 | Series 2021-230P, Class B, (1 mo. USD Term SOFR + 1.56%), 6.89%, due 12/15/2038 | 109,579 (a)(c) | ||
137,000 | Series 2018-H4, Class C, 5.05%, due 12/15/2051 | 119,811 (b) | ||
57,000 | MSWF Commercial Mortgage Trust, Series 2023-2, Class C, 7.02%, due 12/15/2056 | 60,447 (b) | ||
One Market Plaza Trust | ||||
154,855 | Series 2017-1MKT, Class A, 3.61%, due 2/10/2032 | 139,403 (a) | ||
210,000 | Series 2017-1MKT, Class B, 3.85%, due 2/10/2032 | 182,719 (a) | ||
285,000 | ONE Mortgage Trust, Series 2021-PARK, Class A, (1 mo. USD Term SOFR + 0.81%), 6.14%, due 3/15/2036 | 276,728 (a)(c) | ||
221,000 | ONNI Commerical Mortgage Trust, Series 2024-APT, Class C, 6.64%, due 7/15/2039 | 221,164 (a)(b) | ||
237,000 | ORL Trust, Series 2023-GLKS, Class D, (1 mo. USD Term SOFR + 4.30%), 9.63%, due 10/19/2036 | 237,444 (a)(c) | ||
437,000 | SFO Commercial Mortgage Trust, Series 2021-555, Class A, (1 mo. USD Term SOFR + 1.26%), 6.59%, due 5/15/2038 | 411,873 (a)(c) | ||
209,000 | SHER Trust, Series 2024-DAL, Class C, (1 mo. USD Term SOFR + 2.89%), 8.22%, due 4/15/2037 | 207,983 (a)(c) | ||
216,000 | Taubman Centers Commercial Mortgage Trust, Series 2022-DPM, Class B, (1 mo. USD Term SOFR + 2.93%), 8.26%, due 5/15/2037 | 216,810 (a)(c) | ||
Wells Fargo Commercial Mortgage Trust | ||||
125,000 | Series 2024-1CHI, Class C, 6.23%, due 7/15/2035 | 124,735 (a)(b) | ||
100,000 | Series 2024-1CHI, Class D, 6.71%, due 7/15/2035 | 99,643 (a)(b) | ||
270,000 | Series 2014-LC18, Class A5, 3.41%, due 12/15/2047 | 267,278 | ||
365,000 | Series 2016-NXS6, Class B, 3.81%, due 11/15/2049 | 341,415 | ||
3,474,071 | Series 2019-C52, Class XA, 1.59%, due 8/15/2052 | 207,656 (b)(e) | ||
13,508,204 | ||||
Federal Home Loan Mortgage Corp. 4.0% | ||||
Pass-Through Certificates | ||||
58,758 | 4.50%, due 11/1/2039 | 58,335 | ||
3,066,374 | 5.50%, due 9/1/2052 - 4/1/2053 | 3,072,227 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Federal Home Loan Mortgage Corp. – cont'd | ||||
$ | 2,617,292 | 6.00%, due 3/1/2053 - 1/1/2054 | $2,656,810 | |
5,787,372 | ||||
Federal National Mortgage Association 3.1% | ||||
Pass-Through Certificates | ||||
80,317 | 4.50%, due 4/1/2039 - 5/1/2044 | 79,422 | ||
2,949,171 | 5.50%, due 11/1/2052 - 5/1/2053 | 2,957,054 | ||
1,532,582 | 6.00%, due 10/1/2053 | 1,556,740 | ||
4,593,216 | ||||
Total Mortgage-Backed Securities (Cost $44,177,725) | 41,910,969 | |||
Asset-Backed Securities 23.0% | ||||
875,000 | 37 Capital CLO 1 Ltd., Series 2021-1A, Class A, (3 mo. USD Term SOFR + 1.46%), 6.76%, due 10/15/2034 | 876,980 (a)(c) | ||
581,017 | Aqua Finance Trust, Series 2021-A, Class A, 1.54%, due 7/17/2046 | 527,709 (a) | ||
Avis Budget Rental Car Funding AESOP LLC | ||||
375,000 | Series 2020-2A, Class B, 2.96%, due 2/20/2027 | 361,463 (a) | ||
225,000 | Series 2022-5A, Class C, 6.24%, due 4/20/2027 | 225,137 (a) | ||
485,000 | Series 2021-2A, Class B, 1.90%, due 2/20/2028 | 446,525 (a) | ||
245,000 | Series 2024-1A, Class C, 6.48%, due 6/20/2030 | 252,061 (a) | ||
Bayview Opportunity Master Fund VII LLC | ||||
78,443 | Series 2024-EDU1, Class C, (30 day USD SOFR Average + 1.80%), 7.15%, due 6/25/2047 | 78,721 (a)(c) | ||
32,685 | Series 2024-EDU1, Class D, (30 day USD SOFR Average + 2.75%), 8.10%, due 6/25/2047 | 33,035 (a)(c) | ||
391,500 | Beacon Container Finance II LLC, Series 2021-1A, Class A, 2.25%, due 10/22/2046 | 354,423 (a) | ||
785,347 | BOF VII AL Funding Trust I, Series 2023-CAR3, Class A2, 6.29%, due 7/26/2032 | 793,049 (a) | ||
420,946 | Business Jet Securities LLC, Series 2024-1A, Class A, 6.20%, due 5/15/2039 | 427,938 (a) | ||
418,000 | CCG Receivables Trust, Series 2023-2, Class A2, 6.28%, due 4/14/2032 | 423,041 (a) | ||
Compass Datacenters Issuer II LLC | ||||
120,000 | Series 2024-1A, Class A2, 5.75%, due 2/25/2049 | 120,443 (a) | ||
100,000 | Series 2024-1A, Class B, 7.00%, due 2/25/2049 | 101,120 (a) | ||
505,000 | Crown Castle Towers LLC, 3.66%, due 5/15/2045 | 497,622 (a) | ||
244,000 | CyrusOne Data Centers Issuer I LLC, Series 2023-2A, Class A2, 5.56%, due 11/20/2048 | 243,071 (a) | ||
Dell Equipment Finance Trust | ||||
315,000 | Series 2024-1, Class A3, 5.39%, due 3/22/2030 | 318,235 (a) | ||
170,000 | Series 2024-1, Class C, 5.73%, due 3/22/2030 | 172,517 (a) | ||
170,000 | Series 2024-1, Class D, 6.12%, due 9/23/2030 | 172,538 (a) | ||
1,000,000 | Dryden 64 CLO Ltd., Series 2018-64A, Class D, (3 mo. USD Term SOFR + 2.91%), 8.19%, due 4/18/2031 | 987,561 (a)(c) | ||
309,314 | Elara HGV Timeshare Issuer LLC, Series 2023-A, Class A, 6.16%, due 2/25/2038 | 316,185 (a) | ||
462,000 | Flagship Credit Auto Trust, Series 2024-1, Class A3, 5.48%, due 10/16/2028 | 465,904 (a) | ||
435,000 | Fort Washington CLO Ltd., Series 2021-2A, Class A, (3 mo. USD Term SOFR + 1.48%), 6.76%, due 10/20/2034 | 435,586 (a)(c) | ||
Frontier Issuer LLC | ||||
480,000 | Series 2023-1, Class A2, 6.60%, due 8/20/2053 | 488,643 (a) | ||
122,000 | Series 2024-1, Class B, 7.02%, due 6/20/2054 | 124,630 (a) | ||
362,000 | GLS Auto Select Receivables Trust, Series 2024-2A, Class A2, 5.58%, due 6/17/2030 | 363,950 (a) | ||
Gracie Point International Funding LLC | ||||
205,000 | Series 2024-1A, Class A, (90 day USD SOFR Average + 1.70%), 7.05%, due 3/1/2028 | 205,760 (a)(c) | ||
205,000 | Series 2024-1A, Class B, (90 day USD SOFR Average + 2.10%), 7.45%, due 3/1/2028 | 205,755 (a)(c) | ||
301,000 | GreenSky Home Improvement Trust, Series 2024-1, Class A4, 5.67%, due 7/25/2059 | 301,106 (a)(d) | ||
Hilton Grand Vacations Trust | ||||
130,350 | Series 2018-AA, Class A, 3.54%, due 2/25/2032 | 128,407 (a) |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Asset-Backed Securities – cont'd | ||||
$ | 94,828 | Series 2022-2A, Class A, 4.30%, due 1/25/2037 | $93,168 (a) | |
302,892 | Series 2022-2A, Class B, 4.74%, due 1/25/2037 | 299,462 (a) | ||
235,733 | Series 2024-2A, Class C, 5.99%, due 3/25/2038 | 239,496 (a) | ||
230,811 | Series 2024-1B, Class A, 5.75%, due 9/15/2039 | 236,034 (a) | ||
170,801 | Series 2024-1B, Class B, 5.99%, due 9/15/2039 | 174,623 (a) | ||
92,325 | Series 2024-1B, Class C, 6.62%, due 9/15/2039 | 94,861 (a) | ||
287,371 | Huntington Bank Auto Credit-Linked Notes, Series 2024-1, Class B1, 6.15%, due 5/20/2032 | 289,573 (a) | ||
JP Morgan Mortgage Trust | ||||
302,152 | Series 2023-HE2, Class A1, (30 day USD SOFR Average + 1.70%), 7.04%, due 3/25/2054 | 304,654 (a)(c) | ||
135,000 | Series 2023-HE3, Class M1, (30 day USD SOFR Average + 2.10%), 7.44%, due 5/25/2054 | 136,099 (a)(c) | ||
89,000 | Series 2024-HE1, Class M1, (30 day USD SOFR Average + 2.00%), 7.34%, due 8/25/2054 | 89,511 (a)(c) | ||
111,464 | JPMorgan Chase Bank NA, Series 2021-3, Class B, 0.76%, due 2/26/2029 | 109,290 (a) | ||
1,000,000 | Katayma CLO II Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.65%), 6.94%, due 4/20/2037 | 1,004,502 (a)(c) | ||
407,000 | Kubota Credit Owner Trust, Series 2024-1A, Class A3, 5.19%, due 7/17/2028 | 410,529 (a) | ||
284,593 | MetroNet Infrastructure Issuer LLC, Series 2022-1A, Class A2, 6.35%, due 10/20/2052 | 290,564 (a) | ||
MVW LLC | ||||
235,709 | Series 2021-2A, Class A, 1.43%, due 5/20/2039 | 219,774 (a) | ||
167,226 | Series 2021-2A, Class B, 1.83%, due 5/20/2039 | 155,890 (a) | ||
65,458 | Series 2021-1WA, Class B, 1.44%, due 1/22/2041 | 61,327 (a) | ||
182,520 | Series 2024-1A, Class B, 5.51%, due 2/20/2043 | 184,682 (a) | ||
102,435 | Series 2024-1A, Class C, 6.20%, due 2/20/2043 | 103,862 (a) | ||
Navient Private Education Refi Loan Trust | ||||
226,050 | Series 2021-BA, Class A, 0.94%, due 7/15/2069 | 199,549 (a) | ||
639,350 | Series 2021-CA, Class A, 1.06%, due 10/15/2069 | 566,524 (a) | ||
245,418 | Series 2021-EA, Class A, 0.97%, due 12/16/2069 | 213,818 (a) | ||
490,637 | Series 2021-FA, Class A, 1.11%, due 2/18/2070 | 424,198 (a) | ||
447,925 | Series 2024-A, Class A, 5.66%, due 10/15/2072 | 455,999 (a) | ||
1,200,000 | Oaktree CLO Ltd., Series 2022-3A, Class A2, (3 mo. USD Term SOFR + 2.30%), 7.60%, due 7/15/2035 | 1,203,834 (a)(c) | ||
1,000,000 | Octagon Investment Partners 43 Ltd., Series 2019-1A, Class D, (3 mo. USD Term SOFR + 4.16%), 9.45%, due 10/25/2032 | 1,014,033 (a)(c) | ||
422,000 | OneMain Financial Issuance Trust, Series 2022-2A, Class A, 4.89%, due 10/14/2034 | 419,782 (a) | ||
872,000 | PFS Financing Corp., Series 2024-D, Class A, 5.34%, due 4/15/2029 | 884,213 (a) | ||
580,000 | Prestige Auto Receivables Trust, Series 2021-1A, Class D, 2.08%, due 2/15/2028 | 548,207 (a) | ||
1,200,000 | Regatta XXVIII Funding Ltd., Series 2024-2A, Class A1, (3 mo. USD Term SOFR + 1.55%), 6.83%, due 4/25/2037 | 1,206,738 (a)(c) | ||
87,000 | Santander Drive Auto Receivables Trust, Series 2024-1, Class C, 5.45%, due 3/15/2030 | 87,659 | ||
421,000 | SFS Auto Receivables Securitization Trust, Series 2024-1A, Class C, 5.51%, due 1/20/2032 | 426,667 (a) | ||
Sierra Timeshare Receivables Funding LLC | ||||
41,470 | Series 2020-2A, Class C, 3.51%, due 7/20/2037 | 40,587 (a) | ||
108,787 | Series 2022-1A, Class A, 3.05%, due 10/20/2038 | 105,544 (a) | ||
145,333 | Series 2022-1A, Class C, 3.94%, due 10/20/2038 | 139,707 (a) | ||
144,366 | Series 2023-2A, Class C, 7.30%, due 4/20/2040 | 148,029 (a) | ||
83,155 | Series 2022-2A, Class B, 5.04%, due 6/20/2040 | 82,057 (a) | ||
138,157 | Series 2023-3A, Class B, 6.44%, due 9/20/2040 | 141,362 (a) | ||
191,000 | Series 2024-2A, Class C, 5.83%, due 6/20/2041 | 191,821 (a) | ||
351,669 | Series 2024-1A, Class C, 5.94%, due 1/20/2043 | 356,397 (a) | ||
1,000,000 | Signal Peak CLO 8 Ltd., Series 2020-8A, Class A, (3 mo. USD Term SOFR + 1.53%), 6.81%, due 4/20/2033 | 1,001,314 (a)(c) | ||
15,259 | SoFi Consumer Loan Program Trust, Series 2023-1S, Class A, 5.81%, due 5/15/2031 | 15,255 (a) | ||
490,000 | SoFi Professional Loan Program LLC, Series 2018-C, Class BFX, 4.13%, due 1/25/2048 | 456,087 (a) |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Asset-Backed Securities – cont'd | ||||
$ | 334,000 | Sotheby's Artfi Master Trust, Series 2024-1A, Class A1, 6.43%, due 12/22/2031 | $337,521 (a) | |
548,000 | Stack Infrastructure Issuer LLC, Series 2023-3A, Class A2, 5.90%, due 10/25/2048 | 554,344 (a) | ||
265,000 | Subway Funding LLC, Series 2024-1A, Class A2I, 6.03%, due 7/30/2054 | 271,250 (a) | ||
Taco Bell Funding LLC | ||||
258,750 | Series 2016-1A, Class A23, 4.97%, due 5/25/2046 | 256,399 (a) | ||
191,587 | Series 2021-1A, Class A2I, 1.95%, due 8/25/2051 | 176,388 (a) | ||
350,135 | TAL Advantage VII LLC, Series 2020-1A, Class A, 2.05%, due 9/20/2045 | 323,412 (a) | ||
500,000 | TICP CLO VII Ltd., Series 2017-7A, Class DR, (3 mo. USD Term SOFR + 3.46%), 8.76%, due 4/15/2033 | 503,607 (a)(c) | ||
202,800 | TIF Funding III LLC, Series 2024-1A, Class B, 5.58%, due 4/20/2049 | 204,728 (a) | ||
544,000 | T-Mobile U.S. Trust, Series 2022-1A, Class A, 4.91%, due 5/22/2028 | 542,228 (a) | ||
Towd Point Mortgage Trust | ||||
403,317 | Series 2024-CES1, Class A1A, 5.85%, due 1/25/2064 | 403,798 (a)(b) | ||
396,803 | Series 2024-CES2, Class A1A, 6.13%, due 2/25/2064 | 400,601 (a)(b) | ||
415,000 | Trafigura Securitisation Finance PLC, Series 2024-1A, Class A2, 5.98%, due 11/15/2027 | 421,459 (a) | ||
229,119 | U.S. Bank NA, Series 2023-1, Class B, 6.79%, due 8/25/2032 | 231,166 (a) | ||
1,000,000 | Voya CLO Ltd., Series 2016-2A, Class CR, (3 mo. USD Term SOFR + 4.26%), 9.54%, due 7/19/2028 | 1,003,451 (a)(c) | ||
1,200,000 | Wellington Management CLO 1 Ltd., Series 2023-1A, Class A, (3 mo. USD Term SOFR + 1.80%), 7.08%, due 10/20/2036 | 1,207,450 (a)(c) | ||
360,000 | Westlake Automobile Receivables Trust, Series 2024-1A, Class A3, 5.44%, due 5/17/2027 | 360,214 (a) | ||
875,000 | Whitebox CLO III Ltd., Series 2021-3A, Class A1, (3 mo. USD Term SOFR + 1.48%), 6.78%, due 10/15/2034 | 875,963 (a)(c) | ||
285,000 | Ziply Fiber Issuer LLC, Series 2024-1A, Class B, 7.81%, due 4/20/2054 | 295,350 (a) | ||
Total Asset-Backed Securities (Cost $33,517,900) | 33,645,726 | |||
Corporate Bonds 38.4% | ||||
Aerospace & Defense 2.6% | ||||
Boeing Co. | ||||
1,025,000 | 2.70%, due 2/1/2027 | 959,536 | ||
820,000 | 6.30%, due 5/1/2029 | 848,199 (a) | ||
1,200,000 | L3Harris Technologies, Inc., 5.40%, due 1/15/2027 | 1,217,186 | ||
725,000 | RTX Corp., 4.13%, due 11/16/2028 | 709,859 | ||
100,000 | TransDigm, Inc., 5.50%, due 11/15/2027 | 98,745 | ||
3,833,525 | ||||
Airlines 0.7% | ||||
175,000 | American Airlines, Inc., 7.25%, due 2/15/2028 | 174,851 (a) | ||
American Airlines, Inc./AAdvantage Loyalty IP Ltd. | ||||
204,167 | 5.50%, due 4/20/2026 | 202,800 (a) | ||
110,000 | 5.75%, due 4/20/2029 | 107,492 (a) | ||
110,000 | Delta Air Lines, Inc., 7.00%, due 5/1/2025 | 110,947 (a) | ||
193,749 | Delta Air Lines, Inc./SkyMiles IP Ltd., 4.50%, due 10/20/2025 | 192,799 (a) | ||
210,000 | Latam Airlines Group SA, 13.38%, due 10/15/2027 | 232,485 (a) | ||
1,021,374 | ||||
Auto Manufacturers 2.9% | ||||
Ford Motor Credit Co. LLC | ||||
45,000 | 6.95%, due 6/10/2026 | 46,218 | ||
390,000 | 7.35%, due 11/4/2027 | 410,860 | ||
130,000 | 6.80%, due 5/12/2028 | 135,588 | ||
320,000 | 2.90%, due 2/10/2029 | 286,882 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Auto Manufacturers – cont'd | ||||
General Motors Financial Co., Inc. | ||||
$ | 490,000 | 3.80%, due 4/7/2025 | $484,261 | |
1,445,000 | 5.40%, due 4/6/2026 | 1,452,060 | ||
Volkswagen Group of America Finance LLC | ||||
510,000 | 3.35%, due 5/13/2025 | 501,941 (a) | ||
850,000 | 6.00%, due 11/16/2026 | 868,776 (a) | ||
4,186,586 | ||||
Auto Parts & Equipment 0.4% | ||||
IHO Verwaltungs GmbH | ||||
260,000 | 6.00% Cash/6.75% PIK, due 5/15/2027 | 257,929 (a)(f) | ||
90,000 | 6.38% Cash/7.13% PIK, due 5/15/2029 | 90,088 (a)(f) | ||
ZF North America Capital, Inc. | ||||
105,000 | 4.75%, due 4/29/2025 | 103,814 (a) | ||
155,000 | 6.75%, due 4/23/2030 | 157,895 (a) | ||
609,726 | ||||
Banks 11.0% | ||||
Banco Santander SA | ||||
450,000 | 2.75%, due 5/28/2025 | 440,353 | ||
1,040,000 | 5.15%, due 8/18/2025 | 1,036,959 | ||
1,980,000 | Bank of America Corp., 3.38%, due 4/2/2026 | 1,953,503 (g) | ||
975,000 | Barclays PLC, 5.67%, due 3/12/2028 | 988,063 (g) | ||
645,000 | Citigroup, Inc., 2.01%, due 1/25/2026 | 634,113 (g) | ||
2,230,000 | Goldman Sachs Group, Inc., 1.95%, due 10/21/2027 | 2,086,790 (g) | ||
JPMorgan Chase & Co. | ||||
1,100,000 | 2.30%, due 10/15/2025 | 1,092,715 (g) | ||
1,225,000 | 4.08%, due 4/26/2026 | 1,213,704 (g) | ||
750,000 | Lloyds Banking Group PLC, 5.46%, due 1/5/2028 | 757,466 (g) | ||
815,000 | Manufacturers & Traders Trust Co., 4.70%, due 1/27/2028 | 802,057 | ||
Morgan Stanley | ||||
1,345,000 | 1.59%, due 5/4/2027 | 1,267,015 (g) | ||
340,000 | 5.65%, due 4/13/2028 | 346,417 (g) | ||
650,000 | Truist Financial Corp., 5.90%, due 10/28/2026 | 655,037 (g) | ||
750,000 | UBS Group AG, 1.36%, due 1/30/2027 | 707,542 (a)(g) | ||
2,115,000 | Wells Fargo & Co., 3.91%, due 4/25/2026 | 2,092,104 (g) | ||
16,073,838 | ||||
Building Materials 0.1% | ||||
160,000 | Camelot Return Merger Sub, Inc., 8.75%, due 8/1/2028 | 159,074 (a) | ||
Chemicals 0.6% | ||||
120,000 | INEOS Finance PLC, 7.50%, due 4/15/2029 | 122,152 (a) | ||
330,000 | Olympus Water U.S. Holding Corp., 7.13%, due 10/1/2027 | 332,226 (a) | ||
415,000 | SCIL IV LLC/SCIL USA Holdings LLC, 5.38%, due 11/1/2026 | 405,485 (a) | ||
859,863 | ||||
Commercial Services 0.6% | ||||
460,000 | Champions Financing, Inc., 8.75%, due 2/15/2029 | 469,176 (a) | ||
180,000 | Prime Security Services Borrower LLC/Prime Finance, Inc., 6.25%, due 1/15/2028 | 179,408 (a) | ||
290,000 | ZipRecruiter, Inc., 5.00%, due 1/15/2030 | 253,726 (a) | ||
902,310 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Computers 0.1% | ||||
$ | 90,000 | ASGN, Inc., 4.63%, due 5/15/2028 | $86,237 (a) | |
Distribution - Wholesale 0.2% | ||||
290,000 | Resideo Funding, Inc., 4.00%, due 9/1/2029 | 264,327 (a) | ||
Diversified Financial Services 1.0% | ||||
775,000 | American Express Co., 1.65%, due 11/4/2026 | 723,662 | ||
740,000 | Capital One Financial Corp., 2.64%, due 3/3/2026 | 727,136 (g) | ||
1,450,798 | ||||
Electric 2.0% | ||||
1,135,000 | Dominion Energy, Inc., 2.85%, due 8/15/2026 | 1,089,771 | ||
160,000 | NRG Energy, Inc., 10.25%, due 3/15/2028 | 177,296 (a)(g)(h) | ||
Pacific Gas & Electric Co. | ||||
495,000 | 3.50%, due 6/15/2025 | 486,475 | ||
750,000 | 3.45%, due 7/1/2025 | 736,256 | ||
430,000 | Vistra Corp., 7.00%, due 12/15/2026 | 432,470 (a)(g)(h) | ||
2,922,268 | ||||
Electronics 0.4% | ||||
535,000 | EquipmentShare.com, Inc., 9.00%, due 5/15/2028 | 550,687 (a) | ||
75,000 | TTM Technologies, Inc., 4.00%, due 3/1/2029 | 69,639 (a) | ||
620,326 | ||||
Engineering & Construction 0.7% | ||||
490,000 | Artera Services LLC, 8.50%, due 2/15/2031 | 502,381 (a) | ||
270,000 | Global Infrastructure Solutions, Inc., 5.63%, due 6/1/2029 | 259,614 (a) | ||
175,000 | GTP Acquisition Partners I LLC, 3.48%, due 6/15/2050 | 172,262 (a) | ||
934,257 | ||||
Entertainment 1.0% | ||||
1,490,000 | Warnermedia Holdings, Inc., 6.41%, due 3/15/2026 | 1,489,925 | ||
Environmental Control 0.1% | ||||
80,000 | Madison IAQ LLC, 4.13%, due 6/30/2028 | 74,712 (a) | ||
Food Service 0.2% | ||||
235,000 | TKC Holdings, Inc., 6.88%, due 5/15/2028 | 228,802 (a) | ||
Healthcare - Products 0.2% | ||||
340,000 | Medline Borrower LP, 5.25%, due 10/1/2029 | 328,642 (a) | ||
Holding Companies - Diversified 0.2% | ||||
300,000 | Benteler International AG, 10.50%, due 5/15/2028 | 319,049 (a) | ||
Insurance 1.1% | ||||
430,000 | Alliant Holdings Intermediate LLC/Alliant Holdings Co.-Issuer, 6.75%, due 10/15/2027 | 426,774 (a) | ||
455,000 | AssuredPartners, Inc., 5.63%, due 1/15/2029 | 433,415 (a) | ||
785,000 | Jackson National Life Global Funding, 1.75%, due 1/12/2025 | 771,553 (a) | ||
1,631,742 | ||||
Leisure Time 0.3% | ||||
210,000 | Lindblad Expeditions LLC, 6.75%, due 2/15/2027 | 209,609 (a) | ||
90,000 | Viking Cruises Ltd., 7.00%, due 2/15/2029 | 90,883 (a) | ||
170,000 | VOC Escrow Ltd., 5.00%, due 2/15/2028 | 165,881 (a) | ||
466,373 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Machinery - Construction & Mining 0.1% | ||||
$ | 170,000 | Manitowoc Co., Inc., 9.00%, due 4/1/2026 | $170,170 (a) | |
Machinery - Diversified 0.2% | ||||
320,000 | TK Elevator Holdco GmbH, 7.63%, due 7/15/2028 | 319,920 (a) | ||
Media 0.2% | ||||
360,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.13%, due 5/1/2027 | 349,655 (a) | ||
Oil & Gas 2.9% | ||||
460,000 | Ascent Resources Utica Holdings LLC/ARU Finance Corp., 7.00%, due 11/1/2026 | 460,509 (a) | ||
447,137 | Borr IHC Ltd./Borr Finance LLC, 10.00%, due 11/15/2028 | 468,237 (a) | ||
355,000 | Civitas Resources, Inc., 8.38%, due 7/1/2028 | 372,719 (a) | ||
Comstock Resources, Inc. | ||||
340,000 | 6.75%, due 3/1/2029 | 329,419 (a) | ||
110,000 | 6.75%, due 3/1/2029 | 106,287 (a) | ||
1,280,000 | Diamondback Energy, Inc., 5.20%, due 4/18/2027 | 1,294,085 | ||
230,000 | Northern Oil & Gas, Inc., 8.13%, due 3/1/2028 | 234,686 (a) | ||
970,000 | Occidental Petroleum Corp., 5.20%, due 8/1/2029 | 975,898 | ||
4,241,840 | ||||
Oil & Gas Services 0.2% | ||||
330,000 | Solaris Midstream Holdings LLC, 7.63%, due 4/1/2026 | 332,159 (a) | ||
Packaging & Containers 0.4% | ||||
580,000 | Mauser Packaging Solutions Holding Co., 7.88%, due 4/15/2027 | 598,579 (a) | ||
Pharmaceuticals 1.4% | ||||
495,000 | AbbVie, Inc., 4.80%, due 3/15/2029 | 501,470 | ||
605,000 | Bayer U.S. Finance LLC, 6.13%, due 11/21/2026 | 616,915 (a) | ||
890,000 | CVS Health Corp., 4.30%, due 3/25/2028 | 872,546 | ||
1,990,931 | ||||
Pipelines 3.3% | ||||
Enbridge, Inc. | ||||
360,000 | 5.90%, due 11/15/2026 | 367,777 | ||
359,000 | 5.25%, due 4/5/2027 | 363,349 | ||
980,000 | Energy Transfer LP, 6.05%, due 12/1/2026 | 1,002,013 | ||
305,000 | Genesis Energy LP/Genesis Energy Finance Corp., 8.25%, due 1/15/2029 | 317,314 | ||
1,215,000 | Kinder Morgan, Inc., 5.00%, due 2/1/2029 | 1,224,179 | ||
690,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.65%, due 10/15/2025 | 685,296 | ||
460,000 | Tallgrass Energy Partners LP/Tallgrass Energy Finance Corp., 6.00%, due 3/1/2027 | 456,688 (a) | ||
320,000 | Venture Global LNG, Inc., 8.13%, due 6/1/2028 | 333,260 (a) | ||
4,749,876 | ||||
Real Estate Investment Trusts 1.3% | ||||
845,000 | American Tower Corp., 1.45%, due 9/15/2026 | 786,717 | ||
432,000 | American Tower Trust 1, 5.49%, due 3/15/2053 | 439,437 (a) | ||
100,000 | Blackstone Mortgage Trust, Inc., 3.75%, due 1/15/2027 | 91,793 (a) | ||
390,000 | Necessity Retail REIT, Inc./American Finance Operating Partner LP, 4.50%, due 9/30/2028 | 355,078 (a) | ||
280,000 | Starwood Property Trust, Inc., 3.63%, due 7/15/2026 | 266,795 (a) | ||
1,939,820 | ||||
Semiconductors 0.4% | ||||
590,000 | Broadcom, Inc., 5.05%, due 7/12/2027 | 595,282 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Software 0.7% | ||||
$ | 190,000 | AthenaHealth Group, Inc., 6.50%, due 2/15/2030 | $179,138 (a) | |
900,000 | Oracle Corp., 1.65%, due 3/25/2026 | 853,886 | ||
1,033,024 | ||||
Telecommunications 0.9% | ||||
350,000 | Frontier Communications Holdings LLC, 5.88%, due 10/15/2027 | 346,556 (a) | ||
1,010,000 | T-Mobile USA, Inc., 3.75%, due 4/15/2027 | 984,409 | ||
1,330,965 | ||||
Total Corporate Bonds (Cost $55,829,103) | 56,115,975 | |||
Loan Assignments(c) 3.1% | ||||
Aerospace & Defense 0.1% | ||||
186,985 | Peraton Corp., Term Loan B, (1 mo. USD Term SOFR + 3.75%), 9.19%, due 2/1/2028 | 186,906 | ||
Air Transport 0.1% | ||||
135,000 | American Airlines, Inc., Term Loan, (3 mo. USD Term SOFR + 4.75%), 10.29%, due 4/20/2028 | 139,497 | ||
Business Equipment & Services 0.4% | ||||
175,000 | Veritiv Corp., Term Loan B, (3 mo. USD Term SOFR + 4.50%), 9.83%, due 11/30/2030 | 175,111 | ||
358,785 | William Morris Endeavor Entertainment LLC, First Lien Term Loan, (1 mo. USD Term SOFR + 2.75%), 8.21%, due 5/18/2025 | 359,054 | ||
534,165 | ||||
Chemicals & Plastics 0.1% | ||||
174,563 | INEOS Quattro Holdings U.K. Ltd., First Lien Term Loan B, (1 mo. USD Term SOFR + 4.25%), 9.69%, due 4/2/2029 | 174,344 | ||
Commercial Services 0.1% | ||||
189,043 | Neptune Bidco U.S., Inc., Term Loan B, (3 mo. USD Term SOFR + 5.00%), 10.40%, due 4/11/2029 | 177,700 | ||
Diversified Financial Services 0.3% | ||||
496,256 | Avolon TLB Borrower 1 (US) LLC, Term Loan B6, (1 mo. USD Term SOFR + 2.00%), 7.35%, due 6/22/2028 | 497,626 | ||
Diversified Insurance 0.3% | ||||
398,002 | HUB International Ltd., First Lien Term Loan B, (2 mo. USD Term SOFR + 3.00%, 3 mo. USD Term SOFR + 3.00%), 8.25%, due 6/20/2030 | 398,400 (i) | ||
Health Care 0.5% | ||||
437,767 | Athenahealth Group, Inc., Term Loan B, (1 mo. USD Term SOFR + 3.25%), 8.59%, due 2/15/2029 | 436,672 | ||
170,891 | Medline Borrower LP, Term Loan B, (1 mo. USD Term SOFR + 2.75%), 8.10%, due 10/23/2028 | 171,394 | ||
65,622 | Select Medical Corp., Term Loan B1, (1 mo. USD Term SOFR + 3.00%), 8.34%, due 3/6/2027 | 65,540 | ||
673,606 | ||||
Industrial Equipment 0.1% | ||||
175,000 | Gates Global LLC, Term Loan B5, (1 mo. USD Term SOFR + 2.25%), 7.59%, due 6/4/2031 | 175,219 | ||
Internet 0.1% | ||||
126,163 | Gen Digital, Inc., Term Loan B, (1 mo. USD Term SOFR + 1.75%), 7.09%, due 9/12/2029 | 126,041 | ||
Leisure Goods - Activities - Movies 0.2% | ||||
244,173 | Carnival Corp., Term Loan B2, (1 mo. USD Term SOFR + 2.75%), 8.09%, due 8/8/2027 | 245,700 | ||
Life Sciences Tools & Services 0.3% | ||||
428,925 | Star Parent, Inc., Term Loan B, (3 mo. USD Term SOFR + 3.75%), 9.08%, due 9/27/2030 | 429,363 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Principal Amount | Value | |||
Loan Assignments cont'd | ||||
Oil & Gas 0.3% | ||||
$ | 289,275 | CQP Holdco LP, Term Loan B, (3 mo. USD Term SOFR + 2.25%), 7.58%, due 12/31/2030 | $289,735 | |
174,563 | Prairie ECI Acquiror LP, Term Loan, (1 mo. USD Term SOFR + 4.75%), 10.09%, due 8/1/2029 | 174,475 | ||
464,210 | ||||
Retailers (except food & drug) 0.1% | ||||
175,597 | Petco Health & Wellness Co., Inc., Term Loan B, (3 mo. USD Term SOFR + 3.25%), 8.85%, due 3/3/2028 | 161,951 | ||
Utilities 0.1% | ||||
174,105 | USIC Holdings, Inc., Term Loan, (1 mo. USD Term SOFR + 3.50%, 3 mo. USD Term SOFR + 3.50%), 9.05% – 9.10%, due 5/12/2028 | 168,446 (i) | ||
Total Loan Assignments (Cost $4,529,070) | 4,553,174 | |||
Number of Shares | ||||
Short-Term Investments 6.3% | ||||
Investment Companies 6.3% | ||||
9,147,143 | State Street Institutional U.S. Government Money Market Fund Premier Class, 5.26%(j) (Cost $9,147,143) | 9,147,143 | ||
Total Investments 99.5% (Cost $147,200,941) | 145,372,987 | |||
Other Assets Less Liabilities 0.5% | 766,063 (k) | |||
Net Assets 100.0% | $146,139,050 |
(a) | 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 July 31, 2024, these securities amounted to $77,213,337, which represents 52.8% of net assets of the Fund. |
(b) | Variable or floating rate security where the stated interest rate is not based on a published reference rate and spread. Rather, the interest rate adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. The interest rate shown was the current rate as of July 31, 2024. |
(c) | Variable or floating rate security. The interest rate shown was the current rate as of July 31, 2024 and changes periodically. |
(d) | When-issued security. Total value of all such securities at July 31, 2024 amounted to $878,986, which represents 0.6% of net assets of the Fund. |
(e) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the "interest only" holding. |
(f) | Payment-in-kind (PIK) security. |
(g) | 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. |
(h) | Perpetual security. Perpetual securities have no stated maturity date, but they may be called/redeemed by the issuer. The date shown reflects the next call date. |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
(i) | The stated interest rates represent the range of rates at July 31, 2024 of the underlying contracts within the Loan Assignment. |
(j) | Represents 7-day effective yield as of July 31, 2024. |
(k) | Includes the impact of the Fund’s open positions in derivatives at July 31, 2024. |
POSITIONS BY COUNTRY | ||
Country | Investments at Value | Percentage of Net Assets |
United States | $115,060,302 | 78.7% |
Cayman Islands | 9,109,067 | 6.2% |
Germany | 2,917,278 | 2.0% |
Jersey | 2,211,952 | 1.5% |
United Kingdom | 1,745,529 | 1.2% |
Spain | 1,477,312 | 1.0% |
Ireland | 919,085 | 0.6% |
Canada | 731,126 | 0.5% |
Switzerland | 707,542 | 0.5% |
Mexico | 468,237 | 0.3% |
Austria | 319,049 | 0.2% |
Chile | 232,485 | 0.2% |
Bermuda | 204,728 | 0.2% |
Luxembourg | 122,152 | 0.1% |
Short-Term Investments and Other Assets—Net | 9,913,206 | 6.8% |
$146,139,050 | 100.0% |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Derivative Instruments
Futures contracts ("futures")
At July 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) |
9/2024 | 476 | U.S. Treasury Note, 2 Year | $97,754,781 | $703,907 |
Total Long Positions | $97,754,781 | $703,907 |
Short Futures: |
Expiration Date | Number of Contracts | Open Contracts | Notional Amount | Value and Unrealized Appreciation/ (Depreciation) |
9/2024 | 30 | U.S. Treasury Note, 10 Year | $(3,354,375 ) | $(84,141 ) |
9/2024 | 189 | U.S. Treasury Note, 5 Year | (20,391,328 ) | (366,273 ) |
9/2024 | 20 | U.S. Treasury Note, Ultra 10 Year | (2,311,562 ) | (63,125 ) |
9/2024 | 11 | U.S. Treasury Ultra Bond | (1,407,656 ) | (44,190 ) |
Total Short Positions | $(27,464,921 ) | $(557,729 ) | ||
Total Futures | $146,178 |
Credit default swap contracts ("credit default swaps")
At July 31, 2024, the Fund had outstanding credit default swaps as follows:
Centrally Cleared Credit Default Swaps — Buy Protection |
Clearinghouse | Reference Entity | Notional Amount | Financing Rate Paid by the Fund | Payment Frequency | Maturity Date | Upfront Payments/ (Receipts) | Unrealized Appreciation/ (Depreciation) | Accrued Net Interest Receivable/ (Payable) | Value | |
ICE CC | CDX North America High Yield Index, Ser. 42.V1 | USD | 1,300,000 | 5.00 % | 3M | 6/20/2029 | $(85,065 ) | $(3,361 ) | $(7,583 ) | $(96,009 ) |
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 July 31, 2024:
Asset Valuation Inputs | Level 1 | Level 2 | Level 3 | Total |
Investments: | ||||
Mortgage-Backed Securities# | $— | $41,910,969 | $— | $41,910,969 |
Asset-Backed Securities | — | 33,645,726 | — | 33,645,726 |
Corporate Bonds# | — | 56,115,975 | — | 56,115,975 |
Loan Assignments# | — | 4,553,174 | — | 4,553,174 |
See Notes to Schedule of Investments
Schedule of Investments Short Duration Income ETF^ (Unaudited) (cont’d)
Asset Valuation Inputs (cont’d) | Level 1 | Level 2 | Level 3 | Total |
Short-Term Investments | $— | $9,147,143 | $— | $9,147,143 |
Total Investments | $— | $145,372,987 | $— | $145,372,987 |
# | The Schedule of Investments provides information on the industry or sector categorization as well as a Positions by Country summary. |
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 July 31, 2024:
Other Financial Instruments | Level 1 | Level 2 | Level 3 | Total |
Futures@ | ||||
Assets | $703,907 | $— | $— | $703,907 |
Liabilities | (557,729 ) | — | — | (557,729 ) |
Swaps | ||||
Liabilities | — | (96,009 ) | — | (96,009 ) |
Total | $146,178 | $(96,009 ) | $— | $50,169 |
@ | Futures are reported at the cumulative unrealized appreciation/(depreciation) of the instrument. |
^ 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
July 31, 2024
Notes to Schedule of Investments ETF Trust (Unaudited)
In accordance with Accounting Standards Codification 820 "Fair Value Measurement" ("ASC 820"), all investments held by each of Neuberger Berman Flexible Credit Income ETF and Neuberger Berman Short Duration Income 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 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.
Asset-Backed Securities and Mortgage-Backed Securities. Inputs used to value asset-backed securities and mortgage-backed securities generally include models that consider a number of factors, which may include the following: prepayment speeds, cash flows, spread adjustments and Other Market Information.
Collateralized Loan Obligations (CLOs). The value of collateralized loan obligations is primarily determined by cash flow data, relevant loan pricing data and market color, and research from market participants and trading desks (Level 2 or 3 inputs).
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
Emerging Markets Debt and Foreign Government Securities. Inputs used to value emerging markets debt and foreign government securities generally include dealer quotes, bond market activity, discounted cash flow models, and other relevant information such as credit spreads, benchmark curves and Other Market Information.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
Notes to Schedule of Investments ETF Trust (Unaudited) (cont’d)
The value of loan assignments is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
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).
The value of credit default swaps is determined by Management by obtaining valuations from independent pricing services using a model that considers a number of factors, which may include default probabilities, credit curves, recovery rates and cash flows (Level 2 inputs).
The value of forward foreign currency contracts ("forward FX contracts") is determined by Management by obtaining valuations from independent pricing services based on actual traded currency rates on independent pricing services’ networks, along with other traded and quoted currency rates provided to the pricing services by leading market participants (Level 2 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, 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.
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.
Notes to Schedule of Investments ETF Trust (Unaudited) (cont’d)
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.
Notes to Schedule of Investments ETF Trust (Unaudited) (cont'd)
Legend
Clearinghouses: | |
ICE CC | = ICE Clear Credit LLC |
Counterparties: | |
RBC | = Royal Bank of Canada |
Index Periods/Payment Frequencies: | |
3M | = 3 Months |
Other Abbreviations: | |
CJSC | = Closed Joint Stock Company |
JSC | = Joint Stock Company |
Management | = Neuberger Berman Investment Advisers LLC |
Reference Rate Benchmarks: | |
SOFR | = Secured Overnight Financing Rate |
Currency Abbreviations: | |
EUR | = Euro |
USD | = United States Dollar |
For information on the Funds' significant accounting policies, please refer to the Funds' most recent shareholder reports.